论文成果
Research on regularized mean-variance portfolio selection strategy with modified Roy safety-first principle
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- 论文类型：期刊论文
- 发表时间：2016-06-29
- 发表刊物：SPRINGERPLUS
- 收录刊物：SCIE、PubMed、SSCI、Scopus
- 文献类型：J
- 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.
