On the equivalence between the safety first and min-variance criterion for portfolio selection

DOI10.1016/0377-2217(82)90154-0zbMath0482.90009OpenAlexW2007269640MaRDI QIDQ1162905

Javier Marquez Diez-Canedo

Publication date: 1982

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(82)90154-0

zbMATH Keywords

equivalenceportfolio diversificationoptimal portfolio selectionconditions of riskmin-variance criterionminimum variance of returnssafety first criterion

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Design and Testing of a Generalized Reduced Gradient Code for Nonlinear Programming
• Safety First and the Holding of Assets
• Unnamed Item

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