Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10014282478
Persistent link: https://www.econbiz.de/10015066806
Persistent link: https://www.econbiz.de/10009242047
Persistent link: https://www.econbiz.de/10010187473
Persistent link: https://www.econbiz.de/10010469146
Persistent link: https://www.econbiz.de/10011457155
Tail Mean-Variance (TMV) has emerged from the actuarial community as a criterion for risk management and portfolio selection, with a focus on extreme losses. The existing literature on portfolio optimization under the TMV criterion relies on the plug-in approach that substitutes the unknown mean...
Persistent link: https://www.econbiz.de/10014347301