This paper generalizes the nonparametric approach to option pricing of Stutzer (1996) by demonstrating that the canonical valuation methodology in- troduced therein is one member of the Cressie-Read family of divergence mea- sures. While the limiting distribution of the alternative measures is...

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...

A common result in the trade literature is that a small country will realize gains from a bilateral free trade agreement with a large country. McLaren (1997) casts aspersions on this traditional belief by demonstrating that irreversible investment in the small country, with the possibility of...

This article analyses the 10 citation-based journal ranking metrics reported by Harzing's (2007) Publish or Perish (PoP) software (http://www.harzing.com/pop.htm) for 163 economics and finance journals. The results indicate that the 10 metrics produce rankings that are highly correlated....

We derive a mapping between the shortfall-minimizing portfolio selection based on higher-order entropy measures and expected utility theory. We show that the family of HARA utility functions has a minimum-divergence, shortfall-based representation. This facilitates an interpretation in which the...

Using the 2000 US Census data, we explored the effect of international transferability of skills on the earnings of high-skilled US immigrants. We confirmed that education and labour market experience received by immigrants from Japan and English-speaking developed countries before migrating...

We investigate the differences between Beckett book values and eBay auction prices using an original data set of 876 auctions for 30 baseball cards from the 1960s era. We find that cards of lower quality generally sell (on eBay) above book price, whereas cards of higher quality generally sell...

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,...

This paper develops a simple, low-dimension portfolio selection rule based on minimizing the probability of realizing a return below some pre-determined benchmark or target rate. Unlike most shortfall-based methods, which employ approximations to the shortfall probability, this method operates...