Gaussian and logistic adaptations of smoothed safety first

详细信息    查看全文

• 作者：M. Ryan Haley (1)
  
• 关键词：Semi ; parametric smoothing ; Portfolio selection ; Heaviside function ; Safety first ; J24 ; J28 ; J30 ; J32 ; J81
• 刊名：Annals of Finance
• 出版年：2014
• 出版时间：May 2014
• 年：2014
• 卷：10
• 期：2
• 页码：333-345
• 全文大小：213 KB
• 参考文献：1. Bawa, V.: Admissible portfolios for all individuals. J Financ 31, 1169-183 (1976) CrossRef
  2. Bawa, V.: Safety-first, stochastic dominance, and optimal portfolio choice. J Financ Quant Anal 13, 255-71 (1978) CrossRef
  3. Chu, B.: Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios. Ann Financ 8, 97-22 (2012) CrossRef
  4. Cvitani?, J., Polimenis, V., Zapatero, F.: Optimal portfolio allocation with higher moments. Ann Financ 4, 1-8 (2008) CrossRef
  5. Fishburn, P.: Mean-risk analysis with risk associated with below-target returns. Am Econ Rev 67, 116-26 (1977)
  6. Giovanna, M., Lisi, F.: Are performance measures equally stable? Ann Financ 8, 553-70 (2012) CrossRef
  7. Haley, M., McGee, M.: Tilting safety first and the Sharpe portfolio. Financ Res Lett 3, 173-80 (2006)
  8. Haley, M.: A simple nonparametric approach to low-dimension, shortfall-based portfolio selection. Financ Res Lett 5, 183-90 (2008) CrossRef
  9. Haley, M., Whiteman, C.: Generalized safety first and a new twist on portfolio performance. Econom Rev 27, 457-83 (2008) CrossRef
  10. Haley, M., Paarsch, H., Whiteman, C.: Smoothed safety first and the holding of assets. Quant Financ 13, 167-76 (2013)
  11. Jorion, P.: Value at Risk: The New Benchmark for Managing Financial Risk, 2nd edn. McGraw-Hill, New York (2000)
  12. Markowitz, H.: Portfolio Selection: Efficient Diversification of Investments, 2nd edn. Yale University Press, New York (1970)
  13. Roy, A.: Safety first and the holding of assets. Econometrica 20, 431-49 (1952) CrossRef
  14. Silverman, B.: Density Estimation for Statistics and Data Analysis. Chapman and Hall, London (1986) CrossRef
  15. Stutzer, M.: A portfolio performance index. Financ Anal J 56, 52-1 (2000)
  16. Stutzer, M.: Portfolio choice with endogenous utility: a large deviations approach. J Econom 116, 365-86 (2003) CrossRef
  
• 作者单位：M. Ryan Haley (1)
  
  1. Department of Economics, University of Wisconsin Oshkosh, 800 Algoma Blvd, Oshkosh, WI, 54901, USA
  
• ISSN：1614-2454

文摘

In one model of portfolio choice, dating to the Safety First principle, the investor is assumed to select assets to minimize the probability of realizing a portfolio return below some pre-determined target or benchmark rate of return. This paper builds on a recent refinement of Safety First—Smoothed Safety First—but is distinct in that it uses Gaussian and logistic distributions instead of the extreme value type-I distribution. Empirical and simulation results suggest that these alternative smoothing functions perform very much like the original formulation, suggesting that smoothing is robust to the choice of smoothing function for suitably large samples. For smaller samples, both Smoothed Safety First and the standard normal-based smoothing function appear to deliver portfolios with slightly smaller shortfall probabilities than the logistic-based approach.