DocumentCode
2904338
Title
Optimal Portfolio of Liability and Risky Assets under Safety-First Rule
Author
Ding, Yuanyao ; Liu, Huihong
Author_Institution
Fac. of Bus., Ningbo Univ., Ningbo, China
fYear
2011
fDate
17-18 Oct. 2011
Firstpage
328
Lastpage
332
Abstract
In this paper, we set up a new safety-first model including risk less borrowing and discuss the conditions for existence of optimal risk less borrowing behavior. We also provide the optimal investment strategies of risky assets with liability whether or not the short-sell constraints of risky assets are binding and compare the results with that in the mean-variance framework.
Keywords
investment; risk management; statistical analysis; asset short-sell constraint; liability portfolio; mean-variance framework; optimal investment strategy; optimal risk less borrowing behavior; risky asset portfolio; safety-first rule model; Economics; Equations; Investments; Mathematical model; Optimization; Portfolios; Programming; Efficient Frontier; Mean-Variance; Optimality Conditions; Portfolio Choice; Riskless Borrowing; Safety-First;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4577-1541-9
Type
conf
DOI
10.1109/BIFE.2011.91
Filename
6121150
Link To Document