A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
Work
Year: 2022
Type: article
Abstract: A measure for portfolio risk management is proposed by extending the Markowitz mean-variance approach to include the left-hand tail effects of asset returns. Two risk dimensions are captured: asset c... more
Source: Computational Management Science
Institution Marche Polytechnic University
Cites: 50
Cited by: 6
Related to: 10
FWCI: 1.142
Citation percentile (by year/subfield): 87.61
Subfield: Economics and Econometrics
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: hybrid
APC paid (est): $2,890