On the Tail Mean-Variance optimal portfolio selection

Research output: Contribution to journalArticlepeer-review


In the present paper we propose the Tail Mean-Variance (TMV) approach, based on Tail Condition Expectation (TCE) (or Expected Short Fall) and the recently introduced Tail Variance (TV) as a measure for the optimal portfolio selection. We show that, when the underlying distribution is multivariate normal, the TMV model reduces to a more complicated functional than the quadratic and represents a combination of linear, square root of quadratic and quadratic functionals. We show, however, that under general linear constraints, the solution of the optimization problem still exists and in the case where short selling is possible we provide an analytical closed form solution, which looks more "robust" than the classical MV solution. The results are extended to more general multivariate elliptical distributions of risks.

Original languageEnglish
Pages (from-to)547-553
Number of pages7
JournalInsurance: Mathematics and Economics
Issue number3
StatePublished - Jun 2010


  • Elliptical family
  • Optimal portfolio selection
  • Quartic equation
  • Square root of quadratic functional
  • Tail Mean-Variance model
  • Tail condition expectation
  • Tail variance

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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