Research 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 nea...

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Detalles Bibliográficos
Autores principales: Atta Mills, Ebenezer Fiifi Emire, Yan, Dawen, Yu, Bo, Wei, Xinyuan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2016
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4927541/
https://www.ncbi.nlm.nih.gov/pubmed/27386363
http://dx.doi.org/10.1186/s40064-016-2621-7

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4927541/
https://www.ncbi.nlm.nih.gov/pubmed/27386363
http://dx.doi.org/10.1186/s40064-016-2621-7

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