The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution

DOI10.1016/J.INSMATHECO.2021.01.007MaRDI QIDQ2034147zbMATH OpenOpenAlexFDO

Authors Esmat Jamshidi Eini, H. Khaloozadeh

Publication date 21 June 2021

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.01.007

zbMATH Keywords

tail variancetail conditional expectationoptimal portfolio selectiongeneralized skew-elliptical distributionstail mean-variance criterion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

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• On the tail mean-variance optimal portfolio selection
• Optimal capital allocation based on the tail mean-variance model
• Portfolio optimization by a bivariate functional of the mean and variance
• Statistical Applications of the Multivariate Skew Normal Distribution
• Tail Conditional Expectations for Elliptical Distributions
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Tail variance of portfolio under generalized Laplace distribution
• Tail variance premiums for log-elliptical distributions
• The multivariate skew-normal distribution

Cited in

(7)

• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
• The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
• A characterization of optimal portfolios under the tail mean-variance criterion
• On the tail mean-variance optimal portfolio selection
• Asymptotic results on tail moment and tail central moment for dependent risks
• Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
• Tail mean-variance portfolio selection with estimation risk

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Uses Software

• QRM

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