Optimal capital allocation based on the tail mean-variance model (Q2015620)
From MaRDI portal
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