Generalized Safety First and a New Twist on Portfolio Performance

DOI10.1080/07474930801960360zbMath1482.62106OpenAlexW1966019405MaRDI QIDQ3518458

M. Ryan Haley, Charles H. Whiteman

Publication date: 8 August 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930801960360

zbMATH Keywords

entropyimportance samplingKullback-Leibler divergenceportfolio choicesafety firstportfolio performanceshortfall

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of information-theoretic topics (62B10) Portfolio theory (91G10)

Related Items (9)

Disparity, Shortfall, and Twice-Endogenous HARA Utility ⋮ A nonparametric quantity-of-quality approach to assessing financial asset return performance ⋮ Safety first portfolio choice based on financial and sustainability returns ⋮ \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? ⋮ Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan ⋮ Information Theoretic and Entropy Methods: An Overview ⋮ Gaussian and logistic adaptations of smoothed safety first ⋮ Multiperiod Telser's safety-first portfolio selection with regime switching ⋮ Smoothed safety first and the holding of assets

Cites Work

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• Portfolio choice with endogenous utility: a large deviations approach.
• Connections between entropic and linear projections in asset pricing estimation
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Myopic Loss Aversion and the Equity Premium Puzzle
• Probability of Survival as an Investment Criterion
• Safety First and the Holding of Assets

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