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Stutzer Index

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Articles published since 2000| 2001| 2002| 2003| 2004| 2005| 2006| 2007| 2008| 2009| 2010| 2011| 2012

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.

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