Economic Darwinism: Who has the best probabilities?

DOI10.1007/S11238-006-9006-2MaRDI QIDQ2370084zbMATH OpenOpenAlexFDO

Authors David Johnstone

Publication date 21 June 2007

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11238-006-9006-2

zbMATH Keywords

bid-ask spreadeconomic forecast evaluationKelly criterionKelly scoreprobability forecastingprobability scoring rules

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Economic interpretation of probabilities estimated by maximum likelihood or score
• The value of a probability forecast from portfolio theory
• A Probability Scoring Rule for Simultaneous Events
• Fitting probability forecasting models by scoring rules and maximum likelihood
• Should Scoring Rules be “Effective”?

Cites work

• Combining Probability Distributions from Dependent Information Sources
• Competitive Optimality of Logarithmic Investment
• De Finetti was right: Probability Does Not exist
• Decision-based methods for forecast evaluation
• Do Markets Favor Agents able to Make Accurate Predictions?
• Elicitation of Personal Probabilities and Expectations
• Evolution and market behavior
• Expected information as ecpected utility
• Growth Versus Security in Dynamic Investment Analysis
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• If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
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• The construction of a simple book
• The Improvement of Probability Judgements
• The Well-Calibrated Bayesian

Cited in

(6)

• A characterization for the spherical scoring rule
• The value of a probability forecast from portfolio theory
• Economic interpretation of probabilities estimated by maximum likelihood or score
• A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction
• Bayesian logistic betting strategy against probability forecasting
• Fitting probability forecasting models by scoring rules and maximum likelihood

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