Utility-based acceptability indices
Utility-based acceptability indices ArXiv ID: 2310.02014 “View on arXiv” Authors: Unknown 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. Keywords: Certainty Equivalent, Performance Measures, Utility Functions, Long-Run Portfolio Optimization, Multi-Asset ...