Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147987 | Journal of Statistical Planning and Inference | 2009 | 11 Pages |
Abstract
The purpose of this article is to study Kataoka's safety-first (KSF) model, which is a representative of safety-first models of most popular models in portfolio selection of modern finance. We obtain conditions that guarantee that the KSF model has a finite optimal solution without normality assumption. When short-sell is allowed, we provide an explicit analytical solution of the KSF model in two cases. When short-sell is not allowed, we propose an iterating algorithm for finding the optimal portfolios of the KSF model. We also investigate a KSF model with constraint of mean return and obtain the explicit analytical expression of the optimal portfolio.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Yuanyao Ding, Bo Zhang,