The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution

DOI10.1016/j.insmatheco.2021.01.007zbMath1466.91284OpenAlexW3128694084MaRDI QIDQ2034147

Hamid Khaloozadeh, Esmat Jamshidi Eini

Publication date: 21 June 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.01.007

zbMATH Keywords

tail variancetail conditional expectationoptimal portfolio selectiongeneralized skew-elliptical distributionstail mean-variance criterion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

Asymptotic results on tail moment and tail central moment for dependent risks

Uses Software

• QRM

Cites Work

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