| Title |
Research on regularized mean–variance portfolio selection strategy with modified Roy safety-first principle
|
|---|---|
| Published in |
SpringerPlus, June 2016
|
| DOI | 10.1186/s40064-016-2621-7 |
| Pubmed ID | |
| Authors |
Ebenezer Fiifi Emire Atta Mills, Dawen Yan, Bo Yu, Xinyuan Wei |
| Abstract |
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. |
X Demographics
The data shown below were collected from the profiles of 3 X users who shared this research output. Click here to find out more about how the information was compiled.
Geographical breakdown
| Country | Count | As % |
|---|---|---|
| Ghana | 1 | 33% |
| Belgium | 1 | 33% |
| Unknown | 1 | 33% |
Demographic breakdown
| Type | Count | As % |
|---|---|---|
| Scientists | 2 | 67% |
| Members of the public | 1 | 33% |
Mendeley readers
The data shown below were compiled from readership statistics for 6 Mendeley readers of this research output. Click here to see the associated Mendeley record.
Geographical breakdown
| Country | Count | As % |
|---|---|---|
| Unknown | 6 | 100% |
Demographic breakdown
| Readers by professional status | Count | As % |
|---|---|---|
| Student > Master | 2 | 33% |
| Student > Ph. D. Student | 1 | 17% |
| Student > Doctoral Student | 1 | 17% |
| Researcher | 1 | 17% |
| Unknown | 1 | 17% |
| Readers by discipline | Count | As % |
|---|---|---|
| Computer Science | 1 | 17% |
| Psychology | 1 | 17% |
| Economics, Econometrics and Finance | 1 | 17% |
| Social Sciences | 1 | 17% |
| Unknown | 2 | 33% |
Attention Score in Context
This research output has an Altmetric Attention Score of 3. This is our high-level measure of the quality and quantity of online attention that it has received. This Attention Score, as well as the ranking and number of research outputs shown below, was calculated when the research output was last mentioned on 20 July 2020.
All research outputs
#13,707,677
of 24,157,645 outputs
Outputs from SpringerPlus
#636
of 1,857 outputs
Outputs of similar age
#182,211
of 358,344 outputs
Outputs of similar age from SpringerPlus
#93
of 233 outputs
Altmetric has tracked 24,157,645 research outputs across all sources so far. This one is in the 43rd percentile – i.e., 43% of other outputs scored the same or lower than it.
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We're also able to compare this research output to 233 others from the same source and published within six weeks on either side of this one. This one has gotten more attention than average, scoring higher than 60% of its contemporaries.