A generalized tail mean-variance model for optimal capital allocation
Yang Yang, Guojing Wang, Jing Yao, Hengyue Xie
| Year of publication: |
2025
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|---|---|
| Authors: | Yang, Yang ; Wang, Guojing ; Yao, Jing ; Xie, Hengyue |
| Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 122.2025, p. 157-179
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| Subject: | Capital allocation | Bregman divergences | Tail mean-variance | Multivariate generalized hyperbolic distribution | Convex bound approximation | Theorie | Theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2025.03.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015432069