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  • Search: subject:"Zero-covariance portfolio frontier"
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Efficient frontier 1 Elliptical distribution 1 KSF criterion 1 Tangency portfolio 1 Zero-covariance portfolio frontier 1
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Ding, Yuanyao 1 Zhang, Bo 1
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Quantitative Finance 1
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Risky asset pricing based on safety first fund management
Ding, Yuanyao; Zhang, Bo - In: Quantitative Finance 9 (2009) 3, pp. 353-361
We study a portfolio selection model based on Kataoka's safety-first criterion (KSF model in short). We assume that the market is complete but without risk-free asset, and that the returns are jointly elliptically distributed. With these assumptions, we provide an explicit analytical optimal...
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