Optimal capital allocation based on the tail mean-variance model
DOI10.1016/J.INSMATHECO.2013.08.005zbMATH Open1290.91152OpenAlexW2039519497MaRDI QIDQ2015620FDOQ2015620
Authors: Maochao Xu, Tiantian Mao 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.005
Recommendations
elliptical distributioncapital allocationmean-variance modelmultivariate regular variationquadratic distance
Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Title not available (Why is that?)
- Heavy-Tail Phenomena
- Tail Conditional Expectations for Elliptical Distributions
- Title not available (Why is that?)
- Asymptotics for risk capital allocations based on conditional tail expectation
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Conditional tail expectations for multivariate phase-type distributions
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- On the tail mean-variance optimal portfolio selection
- Weighted risk capital allocations
- To split or not to split: Capital allocation with convex risk measures
- Tail risk of multivariate regular variation
- Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
- An optimization approach to the dynamic allocation of economic capital
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Stochastic comparisons of capital allocations with applications
- Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Wang's capital allocation formula for elliptically contoured distributions.
- Tail conditional variance for elliptically contoured distributions
Cited In (30)
- Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
- GlueVaR risk measures in capital allocation applications
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Tail variance of portfolio under generalized Laplace distribution
- A generalization of expected shortfall based capital allocation
- Capital allocation based on the tail covariance premium adjusted
- Asymptotic capital allocation based on the higher moment risk measure
- Some results on the CTE-based capital allocation rule
- Optimal capital allocation in a hierarchical corporate structure
- Capital allocation based on Haezendonck-Goovaerts risk measure
- Optimal capital allocation based on weighted-mean-variance principle
- Capital distribution and portfolio performance in the mean-field Atlas model
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- On a robust risk measurement approach for capital determination errors minimization
- Optimal capital allocation with copulas
- The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
- Asymptotic results on tail moment and tail central moment for dependent risks
- Capital Allocation Using the Bootstrap
- A two-step capital variation model: optimization by different statistical criteria
- Vector-valued tail value-at-risk and capital allocation
- Some remarks on capital allocation by percentile layer
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
- Optimal capital allocation for individual risk model using a mean-variance principle
- Multiobjective optimization of credit capital allocation in financial institutions
- Tail mean-variance portfolio selection with estimation risk
- Wang's capital allocation formula for elliptically contoured distributions.
- Capital allocation to alternatives with a multivariate ladder gamma return distribution
This page was built for publication: Optimal capital allocation based on the tail mean-variance model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015620)
