Cited in
(only showing first 100 items - show all)- Estimating allocations for value-at-risk portfolio optimization
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- Markowitz's model with Euclidean vector spaces
- Tradeoff-based decomposition and decision-making in multiobjective programming
- Upper bounds for the risk in the \(\alpha\)-t utility function
- Nonnormal deterministic equivalents and a transformation in stochastic mathematical programming
- On the equivalence between the safety first and min-variance criterion for portfolio selection
- Variance vs downside risk: Is there really that much difference?
- The diversification of currency loans: A comparison between safety-first and mean-variance criteria
- Theory of dynamic portfolio for survival under uncertainty
- Safety-first analysis and stable Paretian approach to portfolio choice theory
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- \textit{Ex-ante} real estate value at risk calculation method
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- ALM models based on second order stochastic dominance
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM
- 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?
- Multi-period portfolio optimization: translation of autocorrelation risk to excess variance
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Multiperiod Telser's safety-first portfolio selection with regime switching
- 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
- Credit spread approximation and improvement using random forest regression
- Linear complementarity problems on extended second order cones
- Nonstationary Z-score measures
- Mean-VaR portfolio optimization: a nonparametric approach
- Stock market prediction and portfolio selection models: a survey
- Expected loss of uncertain random system
- The axiomatic basis of risk-value models
- Safety first portfolio choice based on financial and sustainability returns
- Comparing downside risk measures for heavy tailed distributions
- Modelling social responsibility in mutual fund performance appraisal: a two-stage data envelopment analysis model with non-discretionary first stage output
- Dynamic portfolio allocation in goals-based wealth management
- Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
- A robust Sharpe ratio
- Portfolio optimization with optimal expected utility risk measures
- An inter-temporal CAPM based on first order stochastic dominance
- From zero to hero: realized partial (co)variances
- Expected return -- expected loss approach to optimal portfolio investment
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- Portfolio choice in the model of expected utility with a safety-first component
- A mental account-based portfolio selection model with an application for data with smaller dimensions
- Asymptotic analysis of portfolio diversification
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- Portfolio selection under different attitudes in fuzzy environment
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- On agricultural commodities' extreme price risk
- Portfolio optimization with behavioural preferences and investor memory
- Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
- How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Mean-variance portfolio selection with correlation risk
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- 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
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- The effect of exit strategy on optimal portfolio selection with birandom returns
- Mean-variance analysis of a single supplier and retailer supply chain under a returns policy
- Optimal portfolio of safety-first models
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
- Multiperiod mean-standard-deviation time consistent portfolio selection
- 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
- Extension of dependence properties to semi-copulas and applications to the mean-variance model
- A new perspective for optimal portfolio selection with random fuzzy returns
- Portfolio selection with a new definition of risk
- Integrated portfolio management with options
- Sharpe thinking in asset ranking with one-sided measures
- Portfolio optimization with linear and fixed transaction costs
- A risk-sensitive approach to total productive maintenance
- Rethinking risk attitude: Aspiration as pure risk
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Twenty years of linear programming based portfolio optimization
- The optimal portfolios based on a modified safety-first rule with risk-free saving
- Data-driven portfolio management with quantile constraints
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Comparing risks with reference points: a stochastic dominance approach
- Rational choice and economic behavior
- On extending the LP computable risk measures to account downside risk
- Another look at portfolio optimization with mental accounts
- Risk and potential: an asset allocation framework with applications to robo-advising
- \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty
- Sufficient conditions under which SSD- and MR-efficient sets are identical
- Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
- Mean absolute negative deviation measure for portfolio selection problem
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Uncertainty portfolio model in cross currency markets
- Simulating and calibrating diversification against black swans
- 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
- Risky asset pricing based on safety first fund management
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
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