Article ID: | iaor2012286 |
Volume: | 72 |
Issue: | 2 |
Start Page Number: | 273 |
End Page Number: | 285 |
Publication Date: | Feb 2012 |
Journal: | Theory and Decision |
Authors: | Hoseinzadeh A, Mohtashami Borzadaran G, Yari G |
Keywords: | optimization |
Expected utility maximization problem is one of the most useful tools in mathematical finance, decision analysis and economics. Motivated by statistical model selection, via the principle of expected utility maximization, Friedman and Sandow (J Mach Learn Res 4:257–291, 2003a) considered the model performance question from the point of view of an investor who evaluates models based on the performance of the optimal strategies that the models suggest. They interpreted their performance measures in information theoretic terms and provided new generalizations of Shannon entropy and Kullback–Leibler relative entropy and called them