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Stutzer Index

Papers

1. A Portfolio Performance Index
2. Performance and Risk Aversion of Funds with Benchmarks: A Large Deviations Approach

The second paper above is a more general approach to the problem, preferred by Dr Stutzer.

Links

• WWW.ANDREASSTEINER.NET: Investment Performance Analysis - Stutzer Index
• Investopedia.com: Stutzer Index
• Answers.com: Stutzer Index
• gummy stuff: Stutzer Index

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