The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
Esmat Jamshidi Eini, Hamid Khaloozadeh
| Year of publication: |
2021
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|---|---|
| Authors: | Eini, Esmat Jamshidi ; Khaloozadeh, Hamid |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 98.2021, p. 44-50
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| Subject: | Generalized skew-elliptical distributions | Optimal portfolio selection | Tail Conditional Expectation | Tail mean-variance criterion | Tail Variance | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Theorie | Theory | 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.2021.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012545260