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Utility-based acceptability indices (2310.02014v1)
Published 3 Oct 2023 in q-fin.RM, math.OC, and q-fin.PM
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.
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