title: Research on regularized mean-variance portfolio selection strategy with modified Roy safety-first principle.
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.
authors.affiliation: School of Mathematical Sciences, Dalian University of Technology, Dalian, China.
authors.forename: Ebenezer Fiifi Emire
authors.identifier: 0000-0002-4977-7270
authors.initials: EF
authors.lastname: Atta Mills
authors.affiliation: School of Mathematical Sciences, Dalian University of Technology, Dalian, China ; School of Business Management, Dalian University of Technology, Dalian, China ; Bank of Dalian, Dalian, Liaoning China.
authors.forename: Dawen
authors.initials: D
authors.lastname: Yan
authors.affiliation: School of Mathematical Sciences, Dalian University of Technology, Dalian, China.
authors.forename: Bo
authors.initials: B
authors.lastname: Yu
authors.affiliation: School of Mathematical Sciences, Dalian University of Technology, Dalian, China.
authors.forename: Xinyuan
authors.initials: X
authors.lastname: Wei
keywords: Mean-risk portfolio; Safety-first; Sparse portfolio; Stable portfolio