Tail Mean-Variance Portfolio Selection with Estimation Risk
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Publisher
Elsevier BV
Reference42 articles.
1. Economic implications of using a mean-var model for portfolio selection: A comparison with mean-variance analysis;G J Alexander;Journal of Economic Dynamics and Control,2002
2. A comparison of var and cvar constraints on portfolio selection with the mean-variance model;G J Alexander;Management Science,2004
3. Coherent measures of risk;P Artzner;Mathematical Finance,1999
4. On the product of inverse wishart and normal distributions with applications to discriminant analysis and portfolio theory;T Bodnar;Scandinavian Journal of Statistics,2011
5. Optimal shrinkage-based portfolio selection in high dimensions;T Bodnar;Journal of Business & Economic Statistics,2023
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