Safety-first analysis and stable Paretian approach to portfolio choice theory (Q1600526)

This extensive paper presents various characterizations of efficient frontiers. It introduces a new stable-Paretian version of the Markowitz optimization model. It shows that the safety-first approach can be more efficient than the stable-Paretian approach. It presents two direct methods to express the safety-first portfolios. It concludes that every investor with a bounded nondecreasing, nonconstant utility function admits an approximate optimal solution in the safety-first efficient set.