On the tail mean-variance optimal portfolio selection
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Publication:659265
DOI10.1016/J.INSMATHECO.2010.02.001zbMATH Open1231.91407OpenAlexW2166353927MaRDI QIDQ659265FDOQ659265
Authors: Zinoviy Landsman 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.02.001
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tail varianceoptimal portfolio selectionelliptical familyquartic equationsquare root of quadratic functionaltail condition expectationtail meanvariance model
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Cited In (22)
- Comparing tail variabilities of risks by means of the excess wealth order
- Portfolio optimization by a bivariate functional of the mean and variance
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Tail variance of portfolio under generalized Laplace distribution
- Tail conditional moments for elliptical and log-elliptical distributions
- Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models
- Mean–semivariance portfolio selection under probability distortion
- Optimal capital allocation based on the tail mean-variance model
- A Black-Litterman asset allocation model under elliptical distributions
- A characterization of optimal portfolios under the tail mean-variance criterion
- Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions
- Tail risk measures and portfolio selection
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- Stochastic comparisons of distorted variability measures
- Minimization of a function of a quadratic functional with application to optimal portfolio selection
- The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
- Asymptotic results on tail moment and tail central moment for dependent risks
- Tail variance allocation, Shapley value, and the majorization problem
- Classical and Bayesian inference of the weighted-exponential distribution with an application to insurance data
- Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis
- Optimal capital allocation for individual risk model using a mean-variance principle
- Tail mean-variance portfolio selection with estimation risk
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