The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution (Q6569185)
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scientific article; zbMATH DE number 7878298
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution |
scientific article; zbMATH DE number 7878298 |
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The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution (English)
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8 July 2024
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capital allocation
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tail mean-variance model
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extended skew-elliptical distributions
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quadratic distance
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risk measure
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