Safety-first analysis and stable Paretian approach to portfolio choice theory
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Publication:1600526
DOI10.1016/S0895-7177(01)00116-9zbMATH Open1018.91026MaRDI QIDQ1600526FDOQ1600526
Authors: L. S. Ortobelli, Svetlozar T. Rachev 
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
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- Approximating the optimum portfolio for an investor with particular preferences
stochastic dominanceelliptical distributionvalue at riskportfolio selectiondomain of attractionefficient frontierstable Paretian distribution
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Cited In (12)
- Safety-first analysis and stable Paretian approach to portfolio choice theory
- Theory of portfolios: New considerations on classic models and the Capital Market Line
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- The optimal portfolios based on a modified safety-first rule with risk-free saving
- The Multiple-Family ELSP with Safety Stocks
- Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures
- How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons
- Approximating the optimum portfolio for an investor with particular preferences
- Safety first portfolio choice based on financial and sustainability returns
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
- Asymptotic stochastic dominance rules for sums of i.i.d. random variables
- Asymptotic multivariate dominance: a financial application
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