On the Tail Mean-Variance optimal portfolio selection

By Zinoviy Landsman. 2010

75 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0b0a101128044077f5c53cc60d5584ceb5174a15

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ahmed M. Gemeay
2. Noor Akma Ibrahim
3. Ahmed Z. Afify

In Finance

1. Hassan M. Aljohani
2. Nada M. Alfaer
3. Ahmed M. Gemeay
4. Noor Akma Ibrahim
5. Ahmed Z. Afify

In Management Science and Operations Research

1. Ahmed M. Gemeay
2. Ahmed Z. Afify

Citations in the corpus

• The Heavy-Tailed Exponential Distribution: Risk Measures, Estimation, and Application to Actuarial Data (2020, background): “TV Measure Landsman [27] introduced the TV risk that is defined by the variance of the loss distribution beyond some critical value.”
• The Extended Log-Logistic Distribution: Inference and Actuarial Applications (2021, background): “The TV measure (Landsman [26]) represents the variance of a loss distribution beyond a particular critical value, and it pays attention to the TV beyond VaR.”