Utility-based acceptability indices

Marcin Pitera and Mikl\'os R\'asonyi

Papers from arXiv.org

Abstract: In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the corresponding portfolio optimization problem is well-posed under generic conditions, and analyse the link between portfolio dynamics, benchmark process, and utility function choice in the long-run setting.

Date: 2023-10
New Economics Papers: this item is included in nep-upt
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