Generalized Safety First and a New Twist on Portfolio Performance
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- M. Haley, 2014. "Gaussian and logistic adaptations of smoothed safety first," Annals of Finance, Springer, vol. 10(2), pages 333-345, May.
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- repec:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0301-4 is not listed on IDEAS
More about this item
KeywordsEntropy; Importance sampling; Kullback-Leibler divergence; Portfolio choice; Portfolio performance; Safety first; Shortfall;
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