Optimal capital allocation based on the tail mean-variance model (Q2015620): Difference between revisions

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+Asymptotics for risk capital allocations based on conditional tail expectation
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+Q3151174
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+Q4726487
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+Conditional tail expectations for multivariate phase-type distributions
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+Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
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+Q4343010
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+Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
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+Risk capital decomposition for a multivariate dependent gamma portfolio
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+Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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+Weighted risk capital allocations
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+Tail risk of multivariate regular variation
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+An optimization approach to the dynamic allocation of economic capital
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+On the tail mean-variance optimal portfolio selection
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+Tail Conditional Expectations for Elliptical Distributions
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+Heavy-Tail Phenomena
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+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
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+To split or not to split: Capital allocation with convex risk measures
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+Q4962328
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+Wang's capital allocation formula for elliptically contoured distributions.
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+Stochastic comparisons of capital allocations with applications
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+Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
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+Asymptotic Analysis of Multivariate Tail Conditional Expectations
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