Safety First and the Holding of Assets
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Publication:5813618
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
Cited In (only showing first 100 items - show all)
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- 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
- Robust portfolio selection under downside risk measures
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Fuzzy portfolio selection problem with different borrowing and lending rates
- Nonnormal deterministic equivalents and a transformation in stochastic mathematical programming
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- Risk curve and fuzzy portfolio selection
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Bruno de Finetti and the case of the critical line's last segment
- Linear complementarity problems on extended second order cones
- Theory of portfolios: New considerations on classic models and the Capital Market Line
- Generalized Safety First and a New Twist on Portfolio Performance
- The axiomatic basis of risk-value models
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Prospect and Markowitz stochastic dominance
- Minimax mean-variance models for fuzzy portfolio selection
- When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
- A practical approach to semideviation and its time scaling in a jump-diffusion process
- Portfolio selection using \(\lambda\) mean and hybrid entropy
- Expected return -- expected loss approach to optimal portfolio investment
- Sharpe thinking in asset ranking with one-sided measures
- Dynamic safety first expected utility model
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Sufficient conditions under which SSD- and MR-efficient sets are identical
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Asset-liability management under the safety-first principle
- Data-driven portfolio management with quantile constraints
- Mean-semivariance models for fuzzy portfolio selection
- Minimizing loss probability bounds for portfolio selection
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- Simulating and calibrating diversification against black swans
- Comments on: Multicriteria decision systems for financial problems
- Gaussian and logistic adaptations of smoothed safety first
- Estimating allocations for value-at-risk portfolio optimization
- Robust portfolios: contributions from operations research and finance
- 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
- Stock market prediction and portfolio selection models: a survey
- Variance vs downside risk: Is there really that much difference?
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
- Portfolio selection with higher moments
- Portfolio optimization with linear and fixed transaction costs
- Smoothed safety first and the holding of assets
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Safety-first portfolio selection
- Safety first portfolio choice based on financial and sustainability returns
- Shortfall as a risk measure: properties, optimization and applications
- Mean-variance analysis of a single supplier and retailer supply chain under a returns policy
- A new perspective for optimal portfolio selection with random fuzzy returns
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
- Risk index in uncertain random risk analysis
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- A class of chance constrained multi-objective portfolio selection model under fuzzy random environment
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Subsampling the distribution of diverging statistics with applications to finance
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- On extending the LP computable risk measures to account downside risk
- Applying the benchmarking procedure: A decision criterion of choice under risk
- Dependence structure of risk factors and diversification effects
- Optimal dynamic portfolio selection with earnings-at-risk
- Portfolio optimization with behavioural preferences and investor memory
- Mean-variance portfolio selection with correlation risk
- Twenty years of linear programming based portfolio optimization
- Portfolio optimization with optimal expected utility risk measures
- Portfolio selection with a new definition of risk
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Minimizing the probability of lifetime ruin with deferred life annuities
- Mean-VaR portfolio optimization: a nonparametric approach
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
- 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
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