Haley, M. Ryan; Whiteman, Charles - In: Econometric Reviews 27 (2008) 4-6, pp. 457-483
We propose a Generalization of Roy's (1952) Safety First (SF) principle and relate it to the IID versions of Stutzer's (Stutzer's 2000, 2003) Portfolio Performance Index and underperformance probability Decay-Rate Maximization criteria. Like the original SF, the Generalized Safety First (GSF)...
