Choice Theory, Based On Of Telser Security - The First Model Portfolio

The theory of portfolio selection is always one of main fields of the financial research. Its basic models are the Mean-Variance Model, the Logarithm-Utility Model, the Safety-First Model and so on. Many authors made a widespread and profound research for these models by virtue of the standard-variance measurement. However, the research of the portfolio, in specially, that of the Telser's Safety-First (TSF) Model with constraint of loss based on the Lower Partial Moments(LPM), is relatively less.The paper, first of all, studies the discrete Single-period TSF Model, and the efficient frontier and the optimal solution are given by evidence.Then, the paper uses the method of LPM to study the continuous Single-period TSF Model, and obtaines the existence condition of the efficient frontier and the optimal solution. These results improve and optimize the results which obtained from the research of TSF Model based on the method of Chebychev.At the end, the paper studies the continuous Multi-period TSF Model more deeply, and the efficient frontier and the optimal solution under the constraint of loss are given. The result is a generalization of the continuous Multi-period Mean-Variance Model.