Owadally, Iqbal; Landsman, Zinoviy - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 213-221
The tail mean–variance model was recently introduced for use in risk management and portfolio choice; it involves a criterion that focuses on the risk of rare but large losses, which is particularly important when losses have heavy-tailed distributions. If returns or losses follow a multivariate...