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Utility-based performance measures for regression models

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  • Friedman, Craig
  • Sandow, Sven

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  • Friedman, Craig & Sandow, Sven, 2006. "Utility-based performance measures for regression models," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 541-560, February.
    • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:541-560
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    References listed on IDEAS

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    1. Frenk, J.B.G. & Kassay, G. & Kolumban, J., 2002. "Equivalent Results in Minimax Theory," ERIM Report Series Research in Management ERS-2002-08-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. Craig Friedman & Sven Sandow, 2003. "Model Performance Measures For Expected Utility Maximizing Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 355-401.
    3. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    4. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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