On the tail mean-variance optimal portfolio selection
type: Item
instance of: scholarly article
title: On the tail mean-variance optimal portfolio selection
zbMATH Open document ID: 1231.91407
author: Zinoviy Landsman
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6004721
zbMATH Keywords: tail condition expectation
zbMATH Keywords: tail variance
zbMATH Keywords: tail mean
zbMATH Keywords: variance model
zbMATH Keywords: optimal portfolio selection
zbMATH Keywords: square root of quadratic functional
zbMATH Keywords: elliptical family
zbMATH Keywords: quartic equation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2010.02.001
OpenAlex ID: W2166353927
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DOI: 10.1016/J.INSMATHECO.2010.02.001
description: scientific article; zbMATH DE number 6004721