Disparity, Shortfall, and Twice-Endogenous HARA Utility
建立了基于高阶熵度量的短缺最小化投资组合选择与预期效用理论之间的映射，表明HARA效用函数族具有基于最小差异的短缺表示，从而内生地解释风险厌恶参数和类型，并给出数值示例。
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.