IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v30y2006i2p541-560.html
   My bibliography  Save this article

Utility-based performance measures for regression models

Author

Listed:
  • Friedman, Craig
  • Sandow, Sven

Abstract

No abstract is available for this item.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(05)00082-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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, Decembrie.
    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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
    2. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, vol. 2(2), pages 1-15, May.
    3. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
    4. Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
    5. Giuseppe Croce & Emanuela Ghignoni, 2011. "Overeducation and spatial flexibility in Italian local labour markets," Working Papers in Public Economics 145, University of Rome La Sapienza, Department of Economics and Law.
    6. Darrian Collins & Clem Tisdell, 2004. "Outbound Business Travel Depends on Business Returns: Australian Evidence," Australian Economic Papers, Wiley Blackwell, vol. 43(2), pages 192-207, June.
    7. Jongeneel, Roelof A. & Ge, Lan, 2005. "Explaining Growth in Dutch Agriculture: Prices, Public R&D, and Technological Change," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24573, European Association of Agricultural Economists.
    8. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
    9. Hany Eldemerdash & Hugh Metcalf & Sara Maioli, 2014. "Twin deficits: new evidence from a developing (oil vs. non-oil) countries’ perspective," Empirical Economics, Springer, vol. 47(3), pages 825-851, November.
    10. Rao, Surekha & Ghali, Moheb & Krieg, John, 2008. "On the J-test for nonnested hypotheses and Bayesian extension," MPRA Paper 14637, University Library of Munich, Germany.
    11. Jay Cao & Jacky Chen & John Hull & Zissis Poulos, 2021. "Deep Hedging of Derivatives Using Reinforcement Learning," Papers 2103.16409, arXiv.org.
    12. Schimmelpfennig, Axel, 1998. "The celtic tiger faces the factor price frontier: Labour market adjustment in Ireland," Kiel Working Papers 855, Kiel Institute for the World Economy (IfW Kiel).
    13. Saul Lach & Mark Schankerman, 2008. "Incentives and invention in universities," RAND Journal of Economics, RAND Corporation, vol. 39(2), pages 403-433, June.
    14. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
    15. Maria Iacovou, 2002. "Class Size in the Early Years: Is Smaller Really Better?," Education Economics, Taylor & Francis Journals, vol. 10(3), pages 261-290.
    16. Maarten A. Allers & Corine Hoeben, 2010. "Effects of Unit-Based Garbage Pricing: A Differences-in-Differences Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 45(3), pages 405-428, March.
    17. C. Lanier Benkard, 2000. "Learning and Forgetting: The Dynamics of Aircraft Production," American Economic Review, American Economic Association, vol. 90(4), pages 1034-1054, September.
    18. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
    19. Bergman, Mats A. & Johansson, Per & Bergman, M.A., 2002. "Large investments in the pulp and paper industry: a count data regression analysis," Journal of Forest Economics, Elsevier, vol. 8(1), pages 29-52.
    20. Parrini, Alessandro, 2013. "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper 103745, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:541-560. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.