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The optimal portfolios based on a modified safety-first rule with risk-free saving
1. | College of Science & Technology, and Faculty of Business, Ningbo University, Ningbo 315211, China |
2. | Southampton Statistical Sciences Research Institute, and School of Mathematical Sciences, University of Southampton, SO17 1BJ, United Kingdom |
References:
[1] |
F. R. Arzac and V. S. Bawa, Portfolio choice and equilibrium in capital markets with safety first investors, Journal of Financial Economics, 4 (1977), 277-288.
doi: 10.1016/0304-405X(77)90003-4. |
[2] |
V. S. Bawa, Optimal rules for ordering uncertain prospects, Journal of Financial Economics, 2 (1975), 95-121.
doi: 10.1016/0304-405X(75)90025-2. |
[3] |
M. C. Chiu and D. Li, Asset-liability management under the safety-first principle, Optimization Theory and Applications, 143 (2009), 455-478.
doi: 10.1007/s10957-009-9576-6. |
[4] |
S. Das, H. Markowitz, J. Scheid and M. Statman, Portfolio optimization with mental accounts, Journal of Financial and Quantitative Analysis, 45 (2010), 311-334.
doi: 10.1017/S0022109010000141. |
[5] |
Y. Ding and B. Zhang, Risky asset pricing based on safety first fund management, Quantitative Finance, 9 (2009), 353-361.
doi: 10.1080/14697680802392488. |
[6] |
Y. Ding and B. Zhang, Optimal portfolio of safety-first models, Journal of Statistical Planning and Inference, 139 (2009), 2952-2962.
doi: 10.1016/j.jspi.2009.01.018. |
[7] |
M. Engels, Portfolio Optimization: Beyond Markowitz, Master's thesis, Leiden University,Netherlands, 2004. |
[8] |
P. C. Fishburn, Mean-risk analysis with risk associated with below-target returns, American Economical Review, 67 (1977), 116-126. |
[9] |
S. Kataoka, A stochastic programming model, Econometrica, 31 (1963), 181-196.
doi: 10.2307/1910956. |
[10] |
K. Boda, J. A. Filar, Y. Lin and L. Spanjers, Stochastic target hitting time and the problem of early retirement, IEEE Transactions on Automatic Control, 49 (2004), 409-419.
doi: 10.1109/TAC.2004.824469. |
[11] |
K. Boda and J. A. Filar, Time consistent dynamic risk measures, Mathematical Methods of Operations Research, 63 (2006), 169-186.
doi: 10.1007/s00186-005-0045-1. |
[12] |
H. Levy and M. Levy, The safety first expected utility model: Experimental evidence and economic implications, Journal of Banking & Finance, 33 (2009), 1494-1506.
doi: 10.1016/j.jbankfin.2009.02.014. |
[13] |
D. Li, T. F. Chan and W. L. Ng, Safety-first dynamic portfolio selection, Dynamics of Continuous, Discrete and Impulsive Systems, 4 (1998), 585-600. |
[14] |
Z. F. Li, J. Yao and D. Li, Behavior patterns of investment strategies under Roy's safety-first principle, The Quarterly Review of Economics and Finance, 50 (2010), 167-179.
doi: 10.1016/j.qref.2009.11.004. |
[15] |
H. Markowitz, Portfolio selection, Journal of Finance, 7 (1952), 79-91. |
[16] |
R. C. Merton, An analytic derivation of the efficient portfolio frontier, The Journal of Financial and Quantitative Analysis, 7 (1972), 1851-1872.
doi: 10.2307/2329621. |
[17] |
V. I. Norkin and S. V. Boyko, Safety-First Portfolio Selection, Cybernetics and Systems Analysis, 48 (2012), 180-191.
doi: 10.1007/s10559-012-9396-9. |
[18] |
L. S. Ortobelli and S. T. Rachev, Safety-first analysis and stable paretian approach to portfolio choice theory, Mathematical and Computer Modelling, 34 (2001), 1037-1072.
doi: 10.1016/S0895-7177(01)00116-9. |
[19] |
L. S. Ortobelli and F. Pellerey, Market stochastic bounds with elliptical distributions, Journal of Concrete and Applicable Mathematics, 6 (2008), 293-314. |
[20] |
A. D. Roy, Safety-first and the holding of assets, Econometrica, 20 (1952), 431-449.
doi: 10.2307/1907413. |
[21] |
H. Shefrin and M. Statman, Behavioral portfolio theory, Journal of Financial and Quantitative Analysis, 35 (2000), 127-151.
doi: 10.2307/2676187. |
[22] |
N. Signer, Safety-first portfolio optimization: Fixed versus random target, Thuenen-Series of Applied Economic Theory, No. 113, 2010. Available from: http://www.econstor.eu/bitstream/10419/74652/1/747604916.pdf. |
[23] |
L. G. Telser, Safety first and hedging, Review of Economic Studies, 23 (1955), 1-16.
doi: 10.2307/2296146. |
[24] |
S. M. Zhang, S. Y. Wang and X. T. Deng, Portfolio Selection Theory with Different Interest Rates for Borrowing and Lending, Journal of Global Optimization, 28 (2004), 67-95.
doi: 10.1023/B:JOGO.0000006719.64826.55. |
show all references
References:
[1] |
F. R. Arzac and V. S. Bawa, Portfolio choice and equilibrium in capital markets with safety first investors, Journal of Financial Economics, 4 (1977), 277-288.
doi: 10.1016/0304-405X(77)90003-4. |
[2] |
V. S. Bawa, Optimal rules for ordering uncertain prospects, Journal of Financial Economics, 2 (1975), 95-121.
doi: 10.1016/0304-405X(75)90025-2. |
[3] |
M. C. Chiu and D. Li, Asset-liability management under the safety-first principle, Optimization Theory and Applications, 143 (2009), 455-478.
doi: 10.1007/s10957-009-9576-6. |
[4] |
S. Das, H. Markowitz, J. Scheid and M. Statman, Portfolio optimization with mental accounts, Journal of Financial and Quantitative Analysis, 45 (2010), 311-334.
doi: 10.1017/S0022109010000141. |
[5] |
Y. Ding and B. Zhang, Risky asset pricing based on safety first fund management, Quantitative Finance, 9 (2009), 353-361.
doi: 10.1080/14697680802392488. |
[6] |
Y. Ding and B. Zhang, Optimal portfolio of safety-first models, Journal of Statistical Planning and Inference, 139 (2009), 2952-2962.
doi: 10.1016/j.jspi.2009.01.018. |
[7] |
M. Engels, Portfolio Optimization: Beyond Markowitz, Master's thesis, Leiden University,Netherlands, 2004. |
[8] |
P. C. Fishburn, Mean-risk analysis with risk associated with below-target returns, American Economical Review, 67 (1977), 116-126. |
[9] |
S. Kataoka, A stochastic programming model, Econometrica, 31 (1963), 181-196.
doi: 10.2307/1910956. |
[10] |
K. Boda, J. A. Filar, Y. Lin and L. Spanjers, Stochastic target hitting time and the problem of early retirement, IEEE Transactions on Automatic Control, 49 (2004), 409-419.
doi: 10.1109/TAC.2004.824469. |
[11] |
K. Boda and J. A. Filar, Time consistent dynamic risk measures, Mathematical Methods of Operations Research, 63 (2006), 169-186.
doi: 10.1007/s00186-005-0045-1. |
[12] |
H. Levy and M. Levy, The safety first expected utility model: Experimental evidence and economic implications, Journal of Banking & Finance, 33 (2009), 1494-1506.
doi: 10.1016/j.jbankfin.2009.02.014. |
[13] |
D. Li, T. F. Chan and W. L. Ng, Safety-first dynamic portfolio selection, Dynamics of Continuous, Discrete and Impulsive Systems, 4 (1998), 585-600. |
[14] |
Z. F. Li, J. Yao and D. Li, Behavior patterns of investment strategies under Roy's safety-first principle, The Quarterly Review of Economics and Finance, 50 (2010), 167-179.
doi: 10.1016/j.qref.2009.11.004. |
[15] |
H. Markowitz, Portfolio selection, Journal of Finance, 7 (1952), 79-91. |
[16] |
R. C. Merton, An analytic derivation of the efficient portfolio frontier, The Journal of Financial and Quantitative Analysis, 7 (1972), 1851-1872.
doi: 10.2307/2329621. |
[17] |
V. I. Norkin and S. V. Boyko, Safety-First Portfolio Selection, Cybernetics and Systems Analysis, 48 (2012), 180-191.
doi: 10.1007/s10559-012-9396-9. |
[18] |
L. S. Ortobelli and S. T. Rachev, Safety-first analysis and stable paretian approach to portfolio choice theory, Mathematical and Computer Modelling, 34 (2001), 1037-1072.
doi: 10.1016/S0895-7177(01)00116-9. |
[19] |
L. S. Ortobelli and F. Pellerey, Market stochastic bounds with elliptical distributions, Journal of Concrete and Applicable Mathematics, 6 (2008), 293-314. |
[20] |
A. D. Roy, Safety-first and the holding of assets, Econometrica, 20 (1952), 431-449.
doi: 10.2307/1907413. |
[21] |
H. Shefrin and M. Statman, Behavioral portfolio theory, Journal of Financial and Quantitative Analysis, 35 (2000), 127-151.
doi: 10.2307/2676187. |
[22] |
N. Signer, Safety-first portfolio optimization: Fixed versus random target, Thuenen-Series of Applied Economic Theory, No. 113, 2010. Available from: http://www.econstor.eu/bitstream/10419/74652/1/747604916.pdf. |
[23] |
L. G. Telser, Safety first and hedging, Review of Economic Studies, 23 (1955), 1-16.
doi: 10.2307/2296146. |
[24] |
S. M. Zhang, S. Y. Wang and X. T. Deng, Portfolio Selection Theory with Different Interest Rates for Borrowing and Lending, Journal of Global Optimization, 28 (2004), 67-95.
doi: 10.1023/B:JOGO.0000006719.64826.55. |
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