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Generalized safety first and a new twist on portfolio performance
M. Ryan Haley
, Charles H. Whiteman
Smeal College of Business
Research output
:
Contribution to journal
›
Article
›
peer-review
21
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Scopus citations
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Keyphrases
Safety-first
100%
Portfolio Performance
100%
Decay Rate
80%
Performance Index
60%
Underperformance
60%
Importance Sampling
40%
Return Distribution
40%
Divergence
20%
Marginal Distribution
20%
Individual Security
20%
Direct Calculation
20%
Ruin Probability
20%
Sum-rate Maximization
20%
Probability Bounds
20%
Numerical Efficiency
20%
Portfolio Returns
20%
Kullback-Leibler Divergence
20%
Large Deviation Theory
20%
Computer Science
Return Distribution
100%
Importance Sampling
100%
Marginal Distribution
50%
Leibler Divergence
50%
Average Return
50%
Portfolio Return
50%
Direct Calculation
50%
Mathematics
Probability Theory
100%
Shortfall
71%
Upper Bound
42%
Minimizes
28%
Importance Sampling
28%
Marginal Distribution
14%
Kullback-Leibler Divergence
14%
Source Density
14%
Engineering
Shortfall
100%
Illustrates
20%
Maximization
20%
Marginal Distribution
20%
Numerical Efficiency
20%
Kullback-Leibler Divergence
20%
Large Deviation Theory
20%
Economics, Econometrics and Finance
Portfolio Selection
100%
Investors
33%
Kullback-Leibler Divergence
33%