Safety First and the Holding of Assets
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Publication:5813618
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(only showing first 100 items - show all)- \(K\)-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?
- Markowitz's model with Euclidean vector spaces
- Tradeoff-based decomposition and decision-making in multiobjective programming
- Disparity, shortfall, and twice-endogenous HARA utility
- Rethinking risk attitude: Aspiration as pure risk
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- In search of robust methods for multi-currency portfolio construction by value at risk
- Employee stock ownership and diversification
- Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM
- The diversification of currency loans: A comparison between safety-first and mean-variance criteria
- Upper bounds for the risk in the \(\alpha\)-t utility function
- Data-Driven Optimization of Reward-Risk Ratio Measures
- Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- Dynamic mean-VaR portfolio selection in continuous time
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- A simple robust asset pricing model under statistical ambiguity
- Theory of dynamic portfolio for survival under uncertainty
- Continuous-time safety-first portfolio selection with jump-diffusion processes
- Tail value-at-risk in uncertain random environment
- A sparse chance constrained portfolio selection model with multiple constraints
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- On the foundation of performance measures under asymmetric returns
- \textit{Ex-ante} real estate value at risk calculation method
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Dynamic portfolio allocation in goals-based wealth management
- ALM models based on second order stochastic dominance
- Reinsurance retention levels for property/liability firms. A managerial portofolio selection framework
- GOAL PROGRAMMING UNDER RISK
- The limiting distribution of extremal exchange rate returns
- Managing underperformance risk in project portfolio selection
- CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES
- Multi-period portfolio optimization: translation of autocorrelation risk to excess variance
- On the equivalence between the safety first and min-variance criterion for portfolio selection
- Safety-first analysis and stable Paretian approach to portfolio choice theory
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- Risky asset pricing based on safety first fund management
- Optimal portfolio of safety-first models
- Model uncertainty in a holistic perspective
- Can utility optimization explain the demand for structured investment products?
- Credit spread approximation and improvement using random forest regression
- Comparing risks with reference points: a stochastic dominance approach
- Mean absolute negative deviation measure for portfolio selection problem
- Service operations optimization: recent development in supply chain management
- A nonparametric quantity-of-quality approach to assessing financial asset return performance
- Rational choice and economic behavior
- Static and dynamic VaR constrained portfolios with application to delegated portfolio management
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Nonstationary Z-score measures
- Expected loss of uncertain random system
- The effect of exit strategy on optimal portfolio selection with birandom returns
- Portfolio selection with a minimax measure in safety constraint
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- Portfolio optimization with behavioural preferences and investor memory
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Mean-variance analysis of a single supplier and retailer supply chain under a returns policy
- Safety first portfolio choice based on financial and sustainability returns
- Prospect and Markowitz stochastic dominance
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Expected return -- expected loss approach to optimal portfolio investment
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- On extending the LP computable risk measures to account downside risk
- Mean-variance portfolio selection with correlation risk
- Robust portfolio selection under downside risk measures
- A practical approach to semideviation and its time scaling in a jump-diffusion process
- Comments on: Multicriteria decision systems for financial problems
- Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
- Minimax mean-variance models for fuzzy portfolio selection
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Applying the benchmarking procedure: A decision criterion of choice under risk
- Smoothed safety first and the holding of assets
- Generalized Safety First and a New Twist on Portfolio Performance
- Shortfall as a risk measure: properties, optimization and applications
- OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
- The axiomatic basis of risk-value models
- Nonnormal deterministic equivalents and a transformation in stochastic mathematical programming
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- Fuzzy portfolio selection problem with different borrowing and lending rates
- Twenty years of linear programming based portfolio optimization
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Risk curve and fuzzy portfolio selection
- Sharpe thinking in asset ranking with one-sided measures
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Bruno de Finetti and the case of the critical line's last segment
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Asset-liability management under the safety-first principle
- Portfolio optimization with optimal expected utility risk measures
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
- Stock market prediction and portfolio selection models: a survey
- Portfolio selection with higher moments
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