Smoothed safety first and the holding of assets
From MaRDI portal
Publication:5746751
DOI10.1080/14697688.2012.713113zbMath1280.91150OpenAlexW2072451460MaRDI QIDQ5746751
M. Ryan Haley, Charles H. Whiteman, Harry J. Paarsch
Publication date: 8 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.713113
Related Items (3)
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? ⋮ Gaussian and logistic adaptations of smoothed safety first
Cites Work
- Unnamed Item
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Portfolio choice with endogenous utility: a large deviations approach.
- Generalized Safety First and a New Twist on Portfolio Performance
- Myopic Loss Aversion and the Equity Premium Puzzle
- Probability of Survival as an Investment Criterion
- Safety First and the Holding of Assets
This page was built for publication: Smoothed safety first and the holding of assets
