Paper: arXiv 2310.02014

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.

Complexity vs Empirical Score

  • Math Complexity: 8.0/10
  • Empirical Rigor: 1.0/10
  • Quadrant: Lab Rats — theoretically deep, empirically untested

Why this score: The paper is highly theoretical, featuring advanced mathematics like risk measures, utility theory, and limit theorems, with no empirical backtests or data mentioned.

Research Flowchart

  flowchart TD
  A["Research Goal<br>Utility-based Acceptability Indices<br>Performance Measures"] --> B["Methodology<br>Scale Utility via Certainty Equivalent<br>Analyse Properties"]
  B --> C["Data/Inputs<br>Multi-Asset Portfolio Dynamics<br>Benchmark Process"]
  C --> D["Computational Process<br>Long-Run Optimization<br>Generic Conditions Check"]
  D --> E["Key Findings<br>Well-Posed Optimization<br>Link Dynamics & Utility Choice"]