Purpose – The purpose of this paper is to apply safety-first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis....

We examine bilateral US- and Thailand-based equity portfolios around the 1997 baht crisis using an extreme value framework for safety-first (SF) portfolio optimisation, with comparisons to the Markowitz mean-variance minimum variance portfolio (MVP). The optimal SF portfolio is invested 100 per...

Purpose – The purpose of this paper is to apply safety-first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis....