Gaussian and logistic adaptations of smoothed safety first

DOI10.1007/S10436-013-0235-4zbMATH Open1298.91139OpenAlexW2107672051MaRDI QIDQ470737FDOQ470737

Authors: M. Ryan Haley 

Publication date: 13 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-013-0235-4

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• scientific article; zbMATH DE number 1247838

zbMATH Keywords

Heaviside functionportfolio selectionsafety firstsemi-parametric smoothing

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Safety First and the Holding of Assets
• Optimal portfolio allocation with higher moments
• Are performance measures equally stable?
• Portfolio choice with endogenous utility: a large deviations approach.
• Generalized Safety First and a New Twist on Portfolio Performance
• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• Smoothed safety first and the holding of assets

Cited In (5)

• A smooth non-parametric estimation framework for safety-first portfolio optimization
• Generalized Safety First and a New Twist on Portfolio Performance
• A nonparametric approach to measuring the sensitivity of an asset's return to the market
• A nonparametric quantity-of-quality approach to assessing financial asset return performance
• \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?

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