Optimal Portfolio of Liability and Risky Assets under Safety-First Rule

摘要：

In this paper, we set up a new safety-first model including riskless borrowing and discuss the conditions for existence of optimal riskless 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 meanvariance framework.

关键词： Safety-First Portfolio Choice Optimality Conditions Riskless Borrowing Mean-Variance Efficient Frontier

作者: Yuanyao Ding Huihong Liu

作者单位: Faculty of Business, Ningbo University, Ningbo 315211, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 328-332

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）