Optimal Capital Reserve and Allocation for Multivariate Risks: A One-step Mean-variance Approach

Published in Working Paper, 2025

This paper presents an optimal capital reserve and allocation strategy for multivariate risks using a one-step mean-variance approach.

Recommended citation: Pu, T., Yang, Y., Yao, J., & Zhang, Y. (2025). "Optimal capital reserve and allocation for multivariate risks: A one-step mean-variance approach." Working Paper.