How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons

DOI10.3934/JIMO.2019076MaRDI QIDQ2244237zbMATH OpenOpenAlexFDO

Authors Yuanyao Ding, Zudi Lu

Publication date 12 November 2021

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2019076

zbMATH Keywords

extreme loss riskoptimal portfolioportfolio choicesafety-first ruleSharpe ratio

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Recommendations

• Optimal portfolio of safety-first models
• Safety-first portfolio selection
• Generalized Safety First and a New Twist on Portfolio Performance
• Portfolio choice in the model of expected utility with a safety-first component
• scientific article; zbMATH DE number 1247838

Cites work

• A Stochastic Programming Model
• Distributional properties of portfolio weights
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• New light on the portfolio allocation problem
• Optimal portfolio of safety-first models
• Portfolio selection and asset pricing
• Risky asset pricing based on safety first fund management
• Safety First and the Holding of Assets
• Safety-first analysis and stable Paretian approach to portfolio choice theory
• Safety-first portfolio selection
• The optimal portfolios based on a modified safety-first rule with risk-free saving

Cited in

(6)

• Safety first portfolio choice based on financial and sustainability returns
• Optimal portfolio of safety-first models
• The optimal portfolios based on a modified safety-first rule with risk-free saving
• Risky asset pricing based on safety first fund management
• Generalized Safety First and a New Twist on Portfolio Performance
• Safety-first portfolio selection

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