Safety First and the Holding of Assets

DOI10.2307/1907413zbMATH Open0047.38805OpenAlexW1980314087WikidataQ56445510 ScholiaQ56445510MaRDI QIDQ5813618FDOQ5813618

Authors:

Publication date: 1952

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1907413

zbMATH Keywords

portfolio theorymathematical finance

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (only showing first 100 items - show all)

• Can utility optimization explain the demand for structured investment products?
• Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
• Multiperiod Telser's safety-first portfolio selection with regime switching
• Portfolio selection with a minimax measure in safety constraint
• Safety-first analysis and stable Paretian approach to portfolio choice theory
• Rational choice and economic behavior
• In search of robust methods for multi-currency portfolio construction by value at risk
• A smooth non-parametric estimation framework for safety-first portfolio optimization
• Multiperiod mean-standard-deviation time consistent portfolio selection
• \textit{Ex-ante} real estate value at risk calculation method
• Dynamic portfolio allocation in goals-based wealth management
• Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
• ALM models based on second order stochastic dominance
• Model uncertainty in a holistic perspective
• Credit spread approximation and improvement using random forest regression
• Comparing risks with reference points: a stochastic dominance approach
• The effect of exit strategy on optimal portfolio selection with birandom returns
• Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
• Dynamic mean-VaR portfolio selection in continuous time
• Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
• Optimal portfolio of safety-first models
• Mean absolute negative deviation measure for portfolio selection problem
• Nonstationary Z-score measures
• Managing underperformance risk in project portfolio selection
• Employee stock ownership and diversification
• Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• Risky asset pricing based on safety first fund management
• On the equivalence between the safety first and min-variance criterion for portfolio selection
• Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM
• On the foundation of performance measures under asymmetric returns
• Service operations optimization: recent development in supply chain management
• 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?
• Data-Driven Optimization of Reward-Risk Ratio Measures
• Disparity, shortfall, and twice-endogenous HARA utility
• Markowitz's model with Euclidean vector spaces
• Tradeoff-based decomposition and decision-making in multiobjective programming
• Rethinking risk attitude: Aspiration as pure risk
• GOAL PROGRAMMING UNDER RISK
• Tail value-at-risk in uncertain random environment
• A sparse chance constrained portfolio selection model with multiple constraints
• The diversification of currency loans: A comparison between safety-first and mean-variance criteria
• Continuous-time safety-first portfolio selection with jump-diffusion processes
• The limiting distribution of extremal exchange rate returns
• Linear vs. quadratic portfolio selection models with hard real-world constraints
• A simple robust asset pricing model under statistical ambiguity
• Upper bounds for the risk in the \(\alpha\)-t utility function
• CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES
• Reinsurance retention levels for property/liability firms. A managerial portofolio selection framework
• Multi-period portfolio optimization: translation of autocorrelation risk to excess variance
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management
• Theory of dynamic portfolio for survival under uncertainty
• Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
• Expected loss of uncertain random system
• Modelling social responsibility in mutual fund performance appraisal: a two-stage data envelopment analysis model with non-discretionary first stage output
• A Time-Varying Network for Cryptocurrencies
• From zero to hero: realized partial (co)variances
• How does the choice of Value-at-Risk estimator influence asset allocation decisions?
• A risk-sensitive approach to total productive maintenance
• Concentrated portfolio selection models based on historical data
• On agricultural commodities' extreme price risk
• Liquidity, risk, and return: specifying an objective function for the management of foreign reserves
• Safety-first portfolio selection
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
• Extended omega ratio optimization for risk-averse investors
• Portfolio optimization under safety first expected utility with nonlinear probability distortion
• BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
• The optimal portfolios based on a modified safety-first rule with risk-free saving
• Measuring downside risk using high-frequency data: realized downside risk measure
• A mental account-based portfolio selection model with an application for data with smaller dimensions
• DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
• Portfolio selection based on semivariance and distance correlation under minimum variance framework
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
• Portfolio selection under different attitudes in fuzzy environment
• Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
• Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
• Loss control with rank-one covariance estimate for short-term portfolio optimization
• Data-driven methods for equity similarity prediction
• Comparing downside risk measures for heavy tailed distributions
• Integrated portfolio management with options
• On the inefficiency of forward markets in leader-follower competition
• Portfolio choice in the model of expected utility with a safety-first component
• Another look at portfolio optimization with mental accounts
• How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons
• Asymptotic analysis of portfolio diversification
• Risk and potential: an asset allocation framework with applications to robo-advising
• A robust Sharpe ratio
• Optimal control of LQG problem with an explicit trade-off between mean and variance
• Extension of dependence properties to semi-copulas and applications to the mean-variance model
• Learning Manipulation Through Information Dissemination
• Uncertainty portfolio model in cross currency markets
• Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
• Optimal bounds and practical insights: Cantelli's inequality revisited
• \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty
• Distributionally robust portfolio optimization with linearized STARR performance measure
• An inter-temporal CAPM based on first order stochastic dominance
• Sensitivity analysis methods for a crop-mix problem in linear programming
• Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan

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