Safety-first analysis and stable Paretian approach to portfolio choice theory (Q1600526)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Safety-first analysis and stable Paretian approach to portfolio choice theory |
scientific article; zbMATH DE number 1755427
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Safety-first analysis and stable Paretian approach to portfolio choice theory |
scientific article; zbMATH DE number 1755427 |
Statements
Safety-first analysis and stable Paretian approach to portfolio choice theory (English)
0 references
13 June 2002
0 references
This extensive paper presents various characterizations of efficient frontiers. It introduces a new stable-Paretian version of the Markowitz optimization model. It shows that the safety-first approach can be more efficient than the stable-Paretian approach. It presents two direct methods to express the safety-first portfolios. It concludes that every investor with a bounded nondecreasing, nonconstant utility function admits an approximate optimal solution in the safety-first efficient set.
0 references
portfolio selection
0 references
stochastic dominance
0 references
stable Paretian distribution
0 references
elliptical distribution
0 references
efficient frontier
0 references
domain of attraction
0 references
value at risk
0 references
