Optimal capital allocation based on the tail mean-variance model (Q2015620): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 18:29, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal capital allocation based on the tail mean-variance model |
scientific article |
Statements
Optimal capital allocation based on the tail mean-variance model (English)
0 references
23 June 2014
0 references
capital allocation
0 references
elliptical distribution
0 references
mean-variance model
0 references
multivariate regular variation
0 references
quadratic distance
0 references
