Roy's safety-first criterion

Roy's safety-first criterion is a risk management technique, devised by A. D. Roy, that allows an investor to select one portfolio rather than another based on the criterion that the probability of the portfolio's return falling below a minimum desired threshold is minimized. Thus, the problem of an investor using Roy's safety criterion can be summarized symbolically as: where is the probability of (the actual return of asset i) being less than (the minimum acceptable return).

Roy's safety-first criterion

Roy's safety-first criterion is a risk management technique, devised by A. D. Roy, that allows an investor to select one portfolio rather than another based on the criterion that the probability of the portfolio's return falling below a minimum desired threshold is minimized. Thus, the problem of an investor using Roy's safety criterion can be summarized symbolically as: where is the probability of (the actual return of asset i) being less than (the minimum acceptable return).