Haley, M. Ryan; McGee, M. Kevin - In: Journal of Empirical Finance 18 (2011) 2, pp. 341-352
Stutzer (2000, 2003) proposes the decay-rate maximizing portfolio selection rule wherein the investor selects the asset mix that maximizes the rate at which the probability of shortfall decays to zero. A close examination of this rule reveals that it ranks portfolios by computing the divergence,...