A Characterization of optimal portfolios under the tail mean,variance criterion

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20130024233</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20130828144754.0</controlfield>
    <controlfield tag="008">130731e20130304esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20130010328</subfield>
      <subfield code="a">Owadally, Iqbal</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="5">
      <subfield code="a">A Characterization of optimal portfolios under the tail mean,variance criterion</subfield>
      <subfield code="c">Iqbal Owadally, Zinoviy Landsman</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">The tail meanvariance model was recently introduced for use in risk management and portfolio choice; it involves a criterion that focuses on the risk of rare but large losses, which is particularly important when losses have heavy-tailed distributions. If returns or losses follow a multivariate elliptical distribution, the use of risk measures that satisfy certain well-known properties is equivalent to risk management in the classical meanvariance framework. The tail meanvariance criterion does not satisfy these properties, however, and the precise optimal solution typically requires the use of numerical methods. We use a convex optimization method and a meanvariance characterization to find an explicit and easily implementable solution for the tail meanvariance model. When a risk-free asset is available, the optimal portfolio is altered in a way that differs from the classical meanvariance setting. A complete solution to the optimal portfolio in the presence of a risk-free asset is also provided.</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">04/03/2013 Volumen 52 Número 2 - marzo 2013 </subfield>
    </datafield>
    <datafield tag="856" ind1=" " ind2=" ">
      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A</subfield>
    </datafield>
  </record>
</collection>