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Log-optimal economic evaluation of probability forecasts

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  • D. J. Johnstone

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  • D. J. Johnstone, 2012. "Log-optimal economic evaluation of probability forecasts," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 175(3), pages 661-689, July.
    • Handle: RePEc:bla:jorssa:v:175:y:2012:i:3:p:661-689
    DOI: j.1467-985X.2011.01011.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-985X.2011.01011.x
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    Cited by:

    1. D. J. Johnstone, 2021. "Accounting information, disclosure, and expected utility: Do investors really abhor uncertainty?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(1-2), pages 3-35, January.
    2. Baştürk, N. & Borowska, A. & Grassi, S. & Hoogerheide, L. & van Dijk, H.K., 2019. "Forecast density combinations of dynamic models and data driven portfolio strategies," Journal of Econometrics, Elsevier, vol. 210(1), pages 170-186.
    3. David Johnstone & Dennis Lindley, 2013. "Mean-Variance and Expected Utility: The Borch Paradox," Papers 1306.2728, arXiv.org.
    4. D.J. Johnstone, 2015. "Information and the Cost of Capital in a Mean-Variance Efficient Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 79-100, January.
    5. David J Johnstone, 2023. "Capital budgeting and Kelly betting," Australian Journal of Management, Australian School of Business, vol. 48(3), pages 625-651, August.
    6. David Johnstone & Stewart Jones & Oliver Jones & Steve Tulig, 2021. "Scoring Probability Forecasts by a User’s Bets Against a Market Consensus," Decision Analysis, INFORMS, vol. 18(3), pages 169-184, September.

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