On the tail mean-variance optimal portfolio selection
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Cites work
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- scientific article; zbMATH DE number 1233792 (Why is no real title available?)
- scientific article; zbMATH DE number 3204130 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- An approach to nonlinear programming
- Coherent measures of risk
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Minimization of the root of a quadratic functional under an affine equality constraint
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
- On the generalization of Stein's lemma for elliptical class of distributions
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Semi-parametric modelling in finance: theoretical foundations
- Tail Conditional Expectations for Elliptical Distributions
- Tail Conditional Expectations for Exponential Dispersion Models
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- The quartic equation: alignment with an equivalent tetrahedron
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
- Optimal capital allocation based on the tail mean-variance model
- Mean–semivariance portfolio selection under probability distortion
- 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
- Minimization of a function of a quadratic functional with application to optimal portfolio selection
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- Stochastic comparisons of distorted variability measures
- Tail risk measures and 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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