The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution (Q2034147)
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scientific article; zbMATH DE number 7361396
| Language | Label | Description | Also known as |
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| English | The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution |
scientific article; zbMATH DE number 7361396 |
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The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution (English)
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21 June 2021
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tail conditional expectation
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tail variance
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tail mean-variance criterion
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optimal portfolio selection
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generalized skew-elliptical distributions
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0.8596033453941345
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0.8308544158935547
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0.78719162940979
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0.7812173962593079
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