Uncertain Exit Time Mutli-period Portfolio By Safety-first Criteria

Studying the problem of the uncertain exit time multi period safety first portfolio selection model. Under the frictionless market and the assumption that risk relative asset prices obey the sequence case of log-normal distribution and with the assumption that the exit time is a random variable obeying some distribution this problem of uncertain exit time is translated in to a determinate horizon one. The target of the model is capital growth rate.We via constructing the auxiliary problem to the safety first model is converted into an equivalent mean-variance model and utilizing the algorithm of dynamic proclaiming principle method for solving the problem of the uncertain exit time multi period safety first portfolio selection model and giving its analytic optimal solution. By the comparisons of the safety first model and mean-variance model, we can come to a conclusion that the safety first principle is a rule that out the over-conservative and over-investment and the safety first principle also reflects the capital gain or loss, so it is a more reasonable indicators of risk control. The safety first principle for investors is a comprehensive and practical indicators. It is a significance guiding to investors in the theoretical aspects.