Smoothed safety first and the holding of assets

DOI10.1080/14697688.2012.713113zbMATH Open1280.91150OpenAlexW2072451460MaRDI QIDQ5746751FDOQ5746751

Authors: M. Ryan Haley, Harry J. Paarsch, Charles H. Whiteman 

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

zbMATH Keywords

Heaviside functionMonte Carlo simulationnonparametric portfolio selection rule

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Myopic Loss Aversion and the Equity Premium Puzzle
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Safety First and the Holding of Assets
• Portfolio choice with endogenous utility: a large deviations approach.
• Generalized Safety First and a New Twist on Portfolio Performance
• Probability of Survival as an Investment Criterion

Cited In (3)

• Gaussian and logistic adaptations of smoothed safety first
• 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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