Release Time:2019-03-10  Hits:

Indexed by: Journal Article

Date of Publication: 2016-06-29

Journal: SPRINGERPLUS

Included Journals: Scopus、SSCI、PubMed、SCIE

Volume: 5

Issue: 1

Page Number: 919

ISSN: 2193-1801

Key Words: Mean-risk portfolio; Safety-first; Stable portfolio; Sparse portfolio

Abstract: 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 near-optimal stable and sparse portfolios. We compare the cumulative wealth of our preferred proposed model to a benchmark, S&P 500 index for the same period. Our proposed portfolio strategies have better out-of-sample performance than the selected alternative portfolio rules in literature and control the downside risk of the portfolio returns.