A characterization of optimal portfolios under the tail mean–variance criterion
نویسندگان
چکیده
منابع مشابه
A characterization of optimal portfolios under the tail mean–variance criterion
The tail mean–variance model was recently introduced for use in risk management and portfolio choice; it involves a criterion that focuses on the risk of rare but large losses, which is particularly importantwhen losses have heavy-tailed distributions. If returns or losses follow a multivariate elliptical distribution, the use of risk measures that satisfy certain well-known properties is equiv...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2013
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2012.12.004