منابع مشابه
Safety First Portfolio Insurance Will
In this study, we show how a dynamic insurance program can be implemented within a mean-variance framework. The approach combines elements of the single period safety first idea suggested by Telser and developed by Leibowitz with multiperiod insurance strategies like CPPI and TIPP. The insurance program allows the user to set a probability of hitting a specified floor or target and also allows ...
متن کاملFuzzy Data Decision Support in Portfolio Selection: a Possibilistic Safety-first Model
Vast pools of historical financial information are available on economies, industry, and individual companies that affect investors’ selection of appropriate portfolios. Fuzzy data provides a good tool to reflect investors’ opinions based on this information. A possibilistic mean variance safety-first portfolio selection model is developed to support investors’ decision making, to take into con...
متن کاملResearch on regularized mean–variance portfolio selection strategy with modified Roy safety-first principle
We propose a consolidated risk measure based on variance and the safety-first principle in a mean-risk portfolio optimization framework. The safety-first principle to financial portfolio selection strategy is modified and improved. Our proposed models are subjected to norm regularization to seek near-optimal stable and sparse portfolios. We compare the cumulative wealth of our preferred propose...
متن کاملSafety first portfolio choice based on financial and sustainability returns
The aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice. We provide a foundation of the notion of sustainability in portfolio theory and establish a general model for generalized safety first portfolio management with probabilistic constraints and three special...
متن کاملPortfolio Selection
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ژورنال
عنوان ژورنال: Cybernetics and Systems Analysis
سال: 2012
ISSN: 1060-0396,1573-8337
DOI: 10.1007/s10559-012-9396-9