MODEL PERFORMANCE MEASURES FOR LEVERAGED INVESTORS

DOI10.1142/S0219024904002530MaRDI QIDQ4653036zbMATH OpenOpenAlexFDO

Authors Craig Friedman, Sven Sandow

Publication date 28 February 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/s0219024904002530

zbMATH Keywords

financial markethorse raceLikelihood ratiomodel performanceutility function

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS
• Model Selection and Multimodel Inference
• Probability Theory
• Products of trees for investment analysis

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• Utility functions that lead to the likelihood ratio as a relative model performance measure

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