Tail mean-variance portfolio selection with estimation risk

• Main Authors: Huang, Zhenzhen, Wei, P.engyu, Weng, Chengguo
• 其他作者: Nanyang Business School
• 格式: Article
• 語言: English
• 出版: 2024
• 主題: Business and Management; Tail mean-variance; Portfolio selection
• 在線閱讀: https://hdl.handle.net/10356/174709

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...