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)...

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...