Smoothed safety first and the holding of assets

DOI10.1080/14697688.2012.713113MaRDI QIDQ5746751zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Generalized Safety First and a New Twist on Portfolio Performance
• Myopic Loss Aversion and the Equity Premium Puzzle
• Portfolio choice with endogenous utility: a large deviations approach.
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Probability of Survival as an Investment Criterion
• Safety First and the Holding of Assets

Cited in

(3)

• \(K\)-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
• A nonparametric quantity-of-quality approach to assessing financial asset return performance

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