Risky asset pricing based on safety first fund management

DOI10.1080/14697680802392488zbMath1169.91341OpenAlexW2093291954MaRDI QIDQ3395744

Bo Zhang, Yuanyao Ding

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802392488

zbMATH Keywords

efficient frontierelliptical distributiontangency portfolioKSF criterionzero-covariance portfolio frontier

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (6)

Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan ⋮ A smooth non-parametric estimation framework for safety-first portfolio optimization ⋮ Multiperiod Telser's safety-first portfolio selection with regime switching ⋮ How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons ⋮ Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure ⋮ The optimal portfolios based on a modified safety-first rule with risk-free saving

Cites Work

• New light on the portfolio allocation problem
• A Stochastic Programming Model
• Common risk factors in the returns on stocks and bonds
• Safety First and the Holding of Assets

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