Disparity, Shortfall, and Twice-Endogenous HARA Utility

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 risk aversion parameters and the type of risk aversion arise endogenously. We provide a numerical example illustrating this interpretation

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Year of publication:	2011
Authors:	Walker, Todd B.
Other Persons:	Haley, M. Ryan (contributor) ; McGee, M. Kevin (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Nutzenfunktion \| Utility function \| Räumliche Verteilung \| Spatial distribution \| Nutzen \| Utility \| Portfolio-Management \| Portfolio selection

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