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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2016
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| Materias: | |
| 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 |