Optimal capital allocation based on the Tail Mean-Variance model
Maochao Xu; Tiantian Mao
| Year of publication: |
2013
|
|---|---|
| Authors: | Xu, Maochao ; Mao, Tiantian |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 533-543
|
| Subject: | Capital allocation | Elliptical distribution | Mean-Variance | Multivariate regular variation | Quadratic distance | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010227966