MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS

DOI10.1142/S0219024903001918zbMath1079.91519OpenAlexW3121311172MaRDI QIDQ5696858

Sven Sandow, Craig Friedman

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 utilityprobabilistic modelshorse race

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (7)

Parametric R-norm directed-divergence convex function ⋮ Utility functions that lead to the likelihood ratio as a relative model performance measure ⋮ Aspects concerning entropy and utility ⋮ Modeling default risk with support vector machines ⋮ MODEL PERFORMANCE MEASURES FOR LEVERAGED INVESTORS ⋮ REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS ⋮ INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS

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