The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution

DOI10.1016/J.CAM.2024.115965MaRDI QIDQ6569185zbMATH OpenFDO

Authors Pingyun Li, Chuancun Yin

Publication date 8 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2024.115965

zbMATH Keywords

capital allocationextended skew-elliptical distributionsquadratic distancerisk measuretail mean-variance model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

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Cited in

(2)

• Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
• Transformation-conditioning Heckman-type selection models with extended skew-elliptical errors: mathematical characterization, computational aspects, and applications

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