On the tail mean-variance optimal portfolio selection

DOI10.1016/J.INSMATHECO.2010.02.001MaRDI QIDQ659265zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

elliptical familyoptimal portfolio selectionquartic equationsquare root of quadratic functionaltail condition expectationtail meantail variancevariance model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Portfolio theory (91G10)

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Cited in

(29)

• Tail variance of portfolio under generalized Laplace distribution
• Optimal capital allocation based on the tail mean-variance model
• The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
• A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
• 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
• Stochastic comparisons of distorted variability measures
• Tail conditional moments for elliptical and log-elliptical distributions
• A characterization of optimal portfolios under the tail mean-variance criterion
• Classical and Bayesian inference of the weighted-exponential distribution with an application to insurance data
• Optimal capital allocation for individual risk model using a mean-variance principle
• Minimization of a function of a quadratic functional with application to optimal portfolio selection
• Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models
• A Black-Litterman asset allocation model under elliptical distributions
• Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis
• Tail risk measures and portfolio selection
• Mean–semivariance portfolio selection under probability distortion
• Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions
• Asymptotic results on tail moment and tail central moment for dependent risks
• Tail variance allocation, Shapley value, and the majorization problem
• Tail mean-variance portfolio selection with estimation risk
• Comparing tail variabilities of risks by means of the excess wealth order
• Doubly truncated expectation and variance of univariate generalized skew-elliptical distributions with applications
• Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
• A novel weighted family for the reinsurance actuarial risk analysis with applications
• An alternative stochastic model for linear portfolios
• A generalized tail mean-variance model for optimal capital allocation
• Tail variance and confidence of using tail conditional expectation: analytical representation, capital adequacy, and asymptotics
• A novel mixture of Laplace and skew-Laplace distributions: properties, applications and risk analysis for the GBP/USD exchange rates with mean of order P assessment

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