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Smoothed safety first and the holding of assets

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  • M. Ryan Haley
  • Harry J. Paarsch
  • Charles H. Whiteman

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  • M. Ryan Haley & Harry J. Paarsch & Charles H. Whiteman, 2013. "Smoothed safety first and the holding of assets," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 167-176, January.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:2:p:167-176
    DOI: 10.1080/14697688.2012.713113
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    References listed on IDEAS

    as
    1. Michael Stutzer, 2011. "Portfolio choice with endogenous utility: a large deviations approach," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 43, pages 619-640, World Scientific Publishing Co. Pte. Ltd..
    2. Bawa, Vijay S, 1976. "Admissible Portfolios for All Individuals," Journal of Finance, American Finance Association, vol. 31(4), pages 1169-1183, September.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Bawa, Vijay S., 1978. "Safety-First, Stochastic Dominance, and Optimal Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(2), pages 255-271, June.
    5. Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(1), pages 73-92.
    6. Fred Hanssmann, 1968. "Probability of Survival as an Investment Criterion," Management Science, INFORMS, vol. 15(1), pages 33-48, September.
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    Citations

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    Cited by:

    1. Steven E. Pav, 2015. "Safety Third: Roy's Criterion and Higher Order Moments," Papers 1506.04227, arXiv.org.
    2. Haley, M. Ryan, 2008. "A simple nonparametric approach to low-dimension, shortfall-based portfolio selection," Finance Research Letters, Elsevier, vol. 5(3), pages 183-190, September.
    3. M. Ryan Haley, 2016. "Shortfall minimization and the Naive (1/N) portfolio: an out-of-sample comparison," Applied Economics Letters, Taylor & Francis Journals, vol. 23(13), pages 926-929, September.
    4. Prendergast, Michael, 2022. "Mutual Fund Allocations that Maximize Safe Portfolio Returns," OSF Preprints dypw6, Center for Open Science.
    5. M. Ryan Haley, 2017. "K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?," Annals of Finance, Springer, vol. 13(3), pages 341-353, August.
    6. M. Haley, 2014. "Gaussian and logistic adaptations of smoothed safety first," Annals of Finance, Springer, vol. 10(2), pages 333-345, May.
    7. Alina Lucia Trifan, 2009. "Testing Capital Asset Pricing Model For Romanian Capital Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-43.
    8. M. Ryan Haley, 2018. "A nonparametric quantity-of-quality approach to assessing financial asset return performance," Annals of Finance, Springer, vol. 14(3), pages 343-351, August.
    9. Minghu Ha & Yang Yang & Chao Wang, 2017. "A portfolio optimization model for minimizing soft margin-based generalization bound," Journal of Intelligent Manufacturing, Springer, vol. 28(3), pages 759-766, March.
    10. Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.

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