Tail mean-variance portfolio selection with estimation risk

• المؤلفون الرئيسيون: Huang, Zhenzhen, Wei, P.engyu, Weng, Chengguo
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2024
• الموضوعات: Business and Management; Tail mean-variance; Portfolio selection
• الوصول للمادة أونلاين: 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...