The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution (Q6569185)
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scientific article; zbMATH DE number 7878298
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| English | The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution |
scientific article; zbMATH DE number 7878298 |
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The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution (English)
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8 July 2024
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capital allocation
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tail mean-variance model
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extended skew-elliptical distributions
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quadratic distance
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risk measure
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0.8296013474464417
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0.7949525713920593
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0.7872442007064819
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0.7570360898971558
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0.7528899312019348
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