Optimal capital allocation based on the tail mean-variance model
type: Item
instance of: scholarly article
title: Optimal capital allocation based on the tail mean-variance model
zbMATH Open document ID: 1290.91152
author: Maochao Xu
author: Tiantian Mao
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G30
Mathematics Subject Classification ID: 60G70
zbMATH DE Number: 6306898
zbMATH Keywords: capital allocation
zbMATH Keywords: elliptical distribution
zbMATH Keywords: mean-variance model
zbMATH Keywords: multivariate regular variation
zbMATH Keywords: quadratic distance
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.08.005
OpenAlex ID: W2039519497
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DOI: 10.1016/J.INSMATHECO.2013.08.005
description: scientific article; zbMATH DE number 6306898