Tail mean-variance portfolio selection with estimation risk

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Cites work

A characterization of optimal portfolios under the tail mean-variance criterion
A well-conditioned estimator for large-dimensional covariance matrices
An identity for the Wishart distribution with applications
Coherent measures of risk
Dynamic portfolio choice when risk is measured by weighted VaR
Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
scientific article; zbMATH DE number 3886886 (Why is no real title available?)
Minimization of a function of a quadratic functional with application to optimal portfolio selection
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
Multivariate skew-normal distributions with applications in insurance
Multivariate tail conditional expectation for elliptical distributions
On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
On the tail mean-variance optimal portfolio selection
Optimal capital allocation based on the tail mean-variance model
Optimal Shrinkage-Based Portfolio Selection in High Dimensions
Portfolio optimization by a bivariate functional of the mean and variance
Risk management with weighted VaR
Tail variance for Generalized Skew-Elliptical distributions
Tail variance of portfolio under generalized Laplace distribution
Tail Variance Premium with Applications for Elliptical Portfolio of Risks
Tail variance premiums for log-elliptical distributions
The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution

Cited in

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Multi-period fuzzy portfolio selection model with preference-regret criterion

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