Disparity, Shortfall, and Twice-Endogenous HARA Utility

DOI10.1080/07474938.2012.690672zbMath1491.91119OpenAlexW2161122089MaRDI QIDQ5080558

Toddb. Walker, M. Ryan Haley, M. Kevin McGee

Publication date: 31 May 2022

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/17139/1/MPRA_paper_17139.pdf

zbMATH Keywords

entropymeasure changeshortfallCressie-Readendogenous utility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

A nonparametric quantity-of-quality approach to assessing financial asset return performance ⋮ \(K\)-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?

Cites Work

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