Optimal capital allocation based on the tail mean-variance model (Q2015620)
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scientific article; zbMATH DE number 6306898
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| English | Optimal capital allocation based on the tail mean-variance model |
scientific article; zbMATH DE number 6306898 |
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Optimal capital allocation based on the tail mean-variance model (English)
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23 June 2014
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capital allocation
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elliptical distribution
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mean-variance model
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multivariate regular variation
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quadratic distance
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