Optimal capital allocation based on the tail mean-variance model
From MaRDI portal
Publication:2015620
DOI10.1016/j.insmatheco.2013.08.005zbMath1290.91152MaRDI QIDQ2015620
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
capital allocation; elliptical distribution; mean-variance model; multivariate regular variation; quadratic distance
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G30: Order statistics; empirical distribution functions
60G70: Extreme value theory; extremal stochastic processes
91G10: Portfolio theory
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