Tail mean-variance portfolio selection with estimation risk
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 vec...
| Glavni autori: | , , |
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| Daljnji autori: | |
| Format: | Journal Article |
| Jezik: | English |
| Izdano: |
2024
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| Teme: | |
| Online pristup: | https://hdl.handle.net/10356/174709 |