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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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