We demonstrate that shortfall-minimizing portfolio selection based on the Cressie- Read family of divergence measures …

original SF, the Generalized Safety First (GSF) rule seeks to minimize an upper bound on the probability of ruin (or shortfall … showed will maximize the rate at which the probability of shortfall in the long-run average return shrinks to zero in … result from Large Deviations theory: in the IID case the GSF probability bound and the decay rate correspond to the Kullback …

as those of the normal distribution. However, various studies reveal that the higher moments, such as skewness and … introducing a general framework to model the distribution of financial returns using maximum entropy density (MED). The main …

, which show that the classical beta generator skewness parameters only control tail entropy and an additional shape parameter … is needed to add entropy to the centre of the parent distribution. This parameter controls skewness without necessarily …-generated, Kumaraswamy-generated and exponentiated distributions. They are maximum entropy distributions under three intuitive conditions …