论文名称：Research on regularized mean-variance portfolio selection strategy with modified Roy safety-first principle
论文类型：期刊论文
发表刊物：SPRINGERPLUS
收录刊物：SCIE、PubMed、SSCI、Scopus
卷号：5
期号：1
页面范围：919
ISSN号：2193-1801
关键字：Mean-risk portfolio; Safety-first; Stable portfolio; Sparse portfolio
摘要：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.
发表时间：2016-06-29