Disparity, shortfall, and twice-endogenous HARA utility

DOI10.1080/07474938.2012.690672zbMATH Open1491.91119OpenAlexW2161122089MaRDI QIDQ5080558FDOQ5080558

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

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

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zbMATH Keywords

entropymeasure changeshortfallCressie-Readendogenous utility

Mathematics Subject Classification ID

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

Cites Work

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• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Convex Analysis
• Empirical likelihood as a goodness-of-fit measure
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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• A compendium to information theory in economics and econometrics
• A Dependence Metric for Possibly Nonlinear Processes
• The Measurement and Decomposition of Multi-Dimensional Inequality
• Safety First and the Holding of Assets
• Portfolio choice with endogenous utility: a large deviations approach.
• On the Existence of Minimax Martingale Measures
• Generalized Safety First and a New Twist on Portfolio Performance
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• Title not available (Why is that?)

Cited In (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?

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