A Portfolio Performance Index

By M. Stutzer. 2000

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Approximating the numéraire portfolio by naive diversification (2010, background): “…optimal or Kelly portfolio, which includes Markowitz (1976), Latané (1959), Breiman (1961), Hakansson (1971), Thorp (1972), Merton (1973), Rubinstein (1976), Cover (1991), Luen- berger (1998), Ziemba and Mulvey (1998), Browne (1999), Stutzer (2000), Platen and Heath (2006) and MacLean et.al.”
Portfolio Choice with Endogenous Utility: A Large Deviations Approach (2003, unknown): “7 In this regard, see Stutzer (2000) for a simpler model of fund managers who use arithmetic average net returns rather than average log gross returns, under the assumption that net returns are IID.”
Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, unknown): “Some examples of this approach are: Stutzer (2000) introduced the Stutzer index which is based on the behavioral hypothesis that investors aim to minimize the probability of returns being below a given threshold.”