Portfolio Selection Utilizing Safety-First Optimization Model on Exchange Traded Funds in Asia.

This paper presents a portfolio selection framework exploiting exchange traded funds in ASIA considering different portfolio weight thresholds for individual asset within the portfolio of a safety-first model investor. Back-test result shows that the safety-first portfolios of exchange traded funds can significantly outperform the benchmark considered. It was also observed that safety-first investors who doesn't limit the portfolio weights of individual asset can significantly outperform the benchmark. Overall, this study offers an alternative equitable investment option for safety-first investors which, on the long run, can probably be considered as a generic investment procedure for any investor. [ABSTRACT FROM AUTHOR]