---
title: Safe Haven Assets in Portfolio Risk Management - A Note on 'Safe Haven'
url: https://www.ml-quant.com/papers/ssrn/4687941/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4687941
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4687941
featured: 2024-01-09
citations: 0
topic: Portfolio & Allocation
---


# Safe Haven Assets in Portfolio Risk Management - A Note on 'Safe Haven'

Utilizing the geometric mean in asset allocation can yield higher total returns than the arithmetic mean, especially with safe haven and insurance-like assets.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4687941
- Identifier: SSRN 4687941
- Released: 2024-01-01
- First featured: Quant Letter No. 32 (2024-01-09): https://www.ml-quant.com/issues/2024-01-09/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Bond Portfolio Optimization at Life Insurance Companies: Duration Spread Ratio Optimization vs. Mean-Variance Optimization](https://www.ml-quant.com/papers/ssrn/4825814/): The research compares the effects of integrating credit risk and interest rate risk in bond portfolio optimization with traditional risk measures, introducing a new approach called Duration Spread Ratio (DSR) optimization that outperforms in all scenarios.
- [Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients](https://www.ml-quant.com/papers/arxiv/2406.10465/): The study offers solutions to an optimal investment-reinsurance problem for insurers under a specific model, using a system of complex mathematical equations.
- [Mean-Variance Optimization for Participating Life Insurance Contracts](https://www.ml-quant.com/papers/arxiv/2407.11761/): The study provides formulas for optimal wealth and strategy for equity holders in life insurance contracts, suggesting increased risky investments during poor economic conditions.
- [The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement](https://www.ml-quant.com/papers/arxiv/2408.07271/): The Concentration Risk Indicator (CRI) is a new tool designed to assess risks associated with concentrated portfolios, useful in areas such as insurance risk and product portfolio mixes, especially where wealth is concentrated in few tokens.
- [Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market](https://www.ml-quant.com/papers/arxiv/2305.12539/): Study compares VaR-based and constant proportion portfolio insurance strategies in regime-switching framework.
- [Effective Experience Rating for Large Insurance Portfolios via Surrogate Modeling](https://www.ml-quant.com/papers/arxiv/2211.06568/): A surrogate modeling approach is proposed to compute Bayesian credibility premiums for a given model.