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A characterization of optimal portfolios under the tail mean-variance criterion
Iqbal Owadally,
Zinoviy Landsman
Department of Statistics
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peer-review
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Dive into the research topics of 'A characterization of optimal portfolios under the tail mean-variance criterion'. Together they form a unique fingerprint.
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Business & Economics
Optimal Portfolio
73%
Mean-variance
71%
Characterization
54%
Mean-variance Model
45%
Elliptical Distribution
27%
Risk Management
25%
Heavy-tailed Distribution
24%
Convex Optimization
24%
Numerical Methods
20%
Portfolio Choice
20%
Assets
19%
Measure of Risk
19%
Optimal Solution
15%
Mathematics
Optimal Portfolio
100%
Tail
61%
Characterization
36%
Risk Management
31%
Portfolio Choice
20%
Elliptical Distribution
15%
Risk Measures
14%
Heavy-tailed Distribution
14%
Optimization Methods
12%
Multivariate Distribution
12%
Convex Optimization
12%
Optimal Solution
9%
Numerical Methods
8%
Model
7%
Framework
6%