Portfolio choice in the model of expected utility with a safety-first component

DOI10.1007/S10203-021-00347-6zbMATH Open1492.91325OpenAlexW3197790490MaRDI QIDQ2145696FDOQ2145696

Liqun Liu, Dennis W. Jansen

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-021-00347-6

zbMATH Keywords

expected utilityportfolio choicerisk aversionsafety first

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

Cites Work

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Cited In (4)

• Expected return -- expected loss approach to optimal portfolio investment
• Portfolio optimization under safety first expected utility with nonlinear probability distortion
• The Multiple-Family ELSP with Safety Stocks
• Safety first portfolio choice based on financial and sustainability returns

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