The Tail Mean-Variance optimal capital allocation under the extended skew-elliptical distribution.

Pingyun Li Chuancun Yin

Published in: J. Comput. Appl. Math. (2024)

Keyphrases

optimal allocation
power law
decision making
optimal design
heavy tailed
utility function
closed form
optimal scheduling
data sets
neural network
dynamic programming
probability distribution
data distribution