Optimal portfolio of safety-first models

DOI10.1016/J.JSPI.2009.01.018zbMath1168.62096OpenAlexW2065512997MaRDI QIDQ2390455

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)

Related Items (5)

Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan ⋮ Multiperiod Telser's safety-first portfolio selection with regime switching ⋮ How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons ⋮ Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure ⋮ The optimal portfolios based on a modified safety-first rule with risk-free saving

Cites Work

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

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