Walker, Todd; Haley, M. Ryan; McGee, M. Kevin - Volkswirtschaftliche Fakultät, … - 2009
We demonstrate that shortfall-minimizing portfolio selection based on the Cressie- Read family of divergence measures maps to the HARA family. This means that all HARA utility functions can be interpreted as “endogenous” in the sense described in Stutzer (2003), and that traditional HARA...