Optimal portfolio of safety-first models

DOI10.1016/J.JSPI.2009.01.018zbMATH Open1168.62096OpenAlexW2065512997MaRDI QIDQ2390455FDOQ2390455

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

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

zbMATH Keywords

elliptical distributions

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (8)

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

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)