Optimal portfolio of safety-first models

DOI10.1016/J.JSPI.2009.01.018MaRDI QIDQ2390455zbMATHOpenAlexFDO

Authors Yuanyao Ding, Bo Zhang

Publication date 22 July 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.01.018

zbMATH Keywords

elliptical distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Safety-first portfolio selection
• Risky asset pricing based on safety first fund management
• How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons
• scientific article; zbMATH DE number 1247838
• Portfolio choice in the model of expected utility with a safety-first component

Cites work

• A Stochastic Programming Model
• Common risk factors in the returns on stocks and bonds
• Portfolio Analysis in a Stable Paretian Market
• Safety First and the Holding of Assets
• Tail Conditional Expectations for Elliptical Distributions

Cited in

(12)

• Safety first portfolio choice based on financial and sustainability returns
• Generalized Safety First and a New Twist on Portfolio Performance
• Multiperiod Telser's safety-first portfolio selection with regime switching
• Dynamic safety first expected utility model
• The optimal portfolios based on a modified safety-first rule with risk-free saving
• Risky asset pricing based on safety first fund management
• How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons
• Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
• Measuring downside risk using high-frequency data: realized downside risk measure
• Gaussian and logistic adaptations of smoothed safety first
• Portfolio choice in the model of expected utility with a safety-first component
• Safety-first portfolio selection

This page was built for publication: Optimal portfolio of safety-first models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2390455)