The Optimal Crp Portfolio Investment Strategy Under Telser’s Safety-first Criterion

In this paper, we consider continuous-time Telser’s safety-first type portfolio optimization problem under the setting of Black-Scholes financial markets and the CRP portfolio investment strategy. This model is converted into bi-level optimiza-tion problem by virtue of a decomposition of the feasible solution set, as a result, explicit optimal strategy and efficient frontier are obtained in closed-form. In the end, we illustrate some economic implications and applications arising from using this model with a numerical example.