MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS

DOI10.1142/S0219024903001918MaRDI QIDQ5696858zbMATH OpenOpenAlexFDO

Authors Craig Friedman, Sven Sandow

Publication date 19 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024903001918

zbMATH Keywords

entropyexpected utilityhorse raceprobabilistic models

Mathematics Subject Classification ID

Utility theory (91B16)

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Cites work

• ASYMPTOTICALLY OPTIMAL PORTFOLIOS
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• scientific article; zbMATH DE number 1391397 (Why is no real title available?)
• Model Selection and Multimodel Inference
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio choice and the Bayesian Kelly criterion
• Products of trees for investment analysis

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• Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
• Aspects concerning entropy and utility
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• 10.1162/153244304773633816
• scientific article; zbMATH DE number 5022014 (Why is no real title available?)
• INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS
• Utility functions that lead to the likelihood ratio as a relative model performance measure

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