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
• 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
• Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
• Optimal portfolio of safety-first models
• Disparity, Shortfall, and Twice-Endogenous HARA Utility
• 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
• 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
• Dynamic mean–VaR portfolio selection in continuous time
• Model Uncertainty in a Holistic Perspective
• 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
• 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
• 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

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