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MJ: Index generation question for Norm or Don
Rather then generating index values that maximize EV, is there any advantage to using index values which maximize certainty equivalent?
The reason I ask is because I heard that a well known professional team uses index values for Hi-Lo based upon CE. Would this be similar to using risk averse indices? Thank you for any answers.
-MJ
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Norm Wattenberger: Re: Index generation question for Norm or Don
Sounds the same to me. RA maximizes SCORE and with all things optimal, CE is 50% of SCORE. Maybe someone can add to this.
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