Esmat Jamshidi Eini
Department of Systems and Control, K.N. Toosi University of Technology, Tehran, Iran
[ 1 ] - The Tail Mean-Variance Model and Extended Efficient Frontier
In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...
Co-Authors