Title :
Optimal Portfolio of Liability and Risky Assets under Safety-First Rule
Author :
Ding, Yuanyao ; Liu, Huihong
Author_Institution :
Fac. of Bus., Ningbo Univ., Ningbo, China
Abstract :
In this paper, we set up a new safety-first model including risk less borrowing and discuss the conditions for existence of optimal risk less borrowing behavior. We also provide the optimal investment strategies of risky assets with liability whether or not the short-sell constraints of risky assets are binding and compare the results with that in the mean-variance framework.
Keywords :
investment; risk management; statistical analysis; asset short-sell constraint; liability portfolio; mean-variance framework; optimal investment strategy; optimal risk less borrowing behavior; risky asset portfolio; safety-first rule model; Economics; Equations; Investments; Mathematical model; Optimization; Portfolios; Programming; Efficient Frontier; Mean-Variance; Optimality Conditions; Portfolio Choice; Riskless Borrowing; Safety-First;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4577-1541-9
DOI :
10.1109/BIFE.2011.91
