The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
DOI10.1016/J.INSMATHECO.2021.01.007zbMATH Open1466.91284OpenAlexW3128694084MaRDI QIDQ2034147FDOQ2034147
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
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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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