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Indexed by:期刊论文

Date of Publication:2016-06-29

Journal:SPRINGERPLUS

Included Journals:SCIE、PubMed、SSCI、Scopus

Volume:5

Issue:1

Page Number:919

ISSN No.: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.