Safety First and the Holding of Assets
From MaRDI portal
Publication:5813618
Cited in
(only showing first 100 items - show all)- Modelling social responsibility in mutual fund performance appraisal: a two-stage data envelopment analysis model with non-discretionary first stage output
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Value-at-risk in uncertain random risk analysis
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Can utility optimization explain the demand for structured investment products?
- Robust portfolio selection under downside risk measures
- A Time-Varying Network for Cryptocurrencies
- From zero to hero: realized partial (co)variances
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- Safety-first analysis and stable Paretian approach to portfolio choice theory
- Portfolio selection with a minimax measure in safety constraint
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
- Rational choice and economic behavior
- In search of robust methods for multi-currency portfolio construction by value at risk
- Fuzzy portfolio selection problem with different borrowing and lending rates
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Nonnormal deterministic equivalents and a transformation in stochastic mathematical programming
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- \textit{Ex-ante} real estate value at risk calculation method
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- ALM models based on second order stochastic dominance
- A risk-sensitive approach to total productive maintenance
- Dynamic portfolio allocation in goals-based wealth management
- Credit spread approximation and improvement using random forest regression
- Comparing risks with reference points: a stochastic dominance approach
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- The effect of exit strategy on optimal portfolio selection with birandom returns
- Risk curve and fuzzy portfolio selection
- Bruno de Finetti and the case of the critical line's last segment
- Concentrated portfolio selection models based on historical data
- Model uncertainty in a holistic perspective
- On agricultural commodities' extreme price risk
- Theory of portfolios: New considerations on classic models and the Capital Market Line
- Linear complementarity problems on extended second order cones
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Granger causality in risk and detection of extreme risk spillover between financial markets
- The axiomatic basis of risk-value models
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- Generalized Safety First and a New Twist on Portfolio Performance
- Dynamic mean-VaR portfolio selection in continuous time
- Prospect and Markowitz stochastic dominance
- Optimal portfolio of safety-first models
- Minimax mean-variance models for fuzzy portfolio selection
- Liquidity, risk, and return: specifying an objective function for the management of foreign reserves
- When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
- Portfolio selection using \(\lambda\) mean and hybrid entropy
- A practical approach to semideviation and its time scaling in a jump-diffusion process
- Nonstationary Z-score measures
- Mean absolute negative deviation measure for portfolio selection problem
- Expected return -- expected loss approach to optimal portfolio investment
- Dynamic safety first expected utility model
- Sharpe thinking in asset ranking with one-sided measures
- Sufficient conditions under which SSD- and MR-efficient sets are identical
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Managing underperformance risk in project portfolio selection
- Employee stock ownership and diversification
- Safety-first portfolio selection
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
- Asset-liability management under the safety-first principle
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Minimizing loss probability bounds for portfolio selection
- Mean-semivariance models for fuzzy portfolio selection
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Data-driven portfolio management with quantile constraints
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- Extended omega ratio optimization for risk-averse investors
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- The optimal portfolios based on a modified safety-first rule with risk-free saving
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- Risky asset pricing based on safety first fund management
- Simulating and calibrating diversification against black swans
- 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
- Gaussian and logistic adaptations of smoothed safety first
- Estimating allocations for value-at-risk portfolio optimization
- DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
- Robust portfolios: contributions from operations research and finance
- Comments on: Multicriteria decision systems for financial problems
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Portfolio optimization under loss aversion
- Value of information in portfolio selection, with a Taiwan stock market application illustration
- On the equivalence between the safety first and min-variance criterion for portfolio selection
- Portfolio selection under different attitudes in fuzzy environment
- Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM
- Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
- ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
This page was built for publication: Safety First and the Holding of Assets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5813618)
