Optimal capital allocation based on the Tail Mean–Variance model
Year of publication: |
2013
|
---|---|
Authors: | Xu, Maochao ; Mao, Tiantian |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 3, p. 533-543
|
Publisher: |
Elsevier |
Subject: | Capital allocation | Elliptical distribution | Mean–Variance | Multivariate regular variation | Quadratic distance |
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