Disparity, shortfall, and twice-endogenous HARA utility

DOI10.1080/07474938.2012.690672MaRDI QIDQ5080558zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

entropymeasure changeshortfallCressie-Readendogenous utility

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5348177 (Why is no real title available?)
• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• A Dependence Metric for Possibly Nonlinear Processes
• A compendium to information theory in economics and econometrics
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• Convex Analysis
• Empirical likelihood as a goodness-of-fit measure
• Generalized Safety First and a New Twist on Portfolio Performance
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
• On the Existence of Minimax Martingale Measures
• Portfolio choice with endogenous utility: a large deviations approach.
• Safety First and the Holding of Assets
• The Measurement and Decomposition of Multi-Dimensional Inequality
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets

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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