Article ID Journal Published Year Pages File Type
1147987 Journal of Statistical Planning and Inference 2009 11 Pages PDF
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
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