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

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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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