Safety-first analysis and stable Paretian approach to portfolio choice theory (Q1600526)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Safety-first analysis and stable Paretian approach to portfolio choice theory |
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Safety-first analysis and stable Paretian approach to portfolio choice theory (English)
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13 June 2002
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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.
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portfolio selection
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stochastic dominance
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stable Paretian distribution
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elliptical distribution
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efficient frontier
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domain of attraction
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value at risk
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