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Kullback–Leibler divergence / Moment-generating function / Risk aversion / Expected utility hypothesis / Hyperbolic absolute risk aversion / Weight / Utility / Statistics / Abstract algebra


Disparity, Shortfall, and Twice-Endogenous HARA Utility∗ M. Ryan Haley†, M. Kevin McGee‡and Todd B. Walker§ December 4, 2010 Abstract We derive a mapping between the shortfall-minimizing portfolio selection based
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Document Date: 2010-12-04 17:30:26

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Company

Pearson / KU LTD / Oshkosh / /

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Facility

University of Wisconsin / Indiana University / /

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finance applications / interior solution / /

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mt rJ / /

Organization

European Union / Indiana University / University of Wisconsin / /

Person

M. Kevin McGee / Essie Maasoumi / Todd B. Walker / Chuck Whiteman / M. Ryan Haley / /

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Rt / researcher / θrt / portfolio return Rt / log Rt / τˆt Rt / /

ProvinceOrState

Wisconsin / /

PublishedMedium

the Freeman / /

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