Stutzer performance index: probability of underperformance (Excel)

It is quite common in portfolio management to compare your fund performance to a particular benchmark, with managers facing scrutiny if their investments underperform. Stutzer (2000) developed an elegant portfolio optimisation technique that allows to explicitly optimise the rate of decay for the probability of benchmark underperformance. Today we are discussing the mathematics behind the Stutzer performance index, its relationship to Sharpe ratio and information ratio, and the Excel implementation of portfolio optimisation based on optimal decay of underperformance probability.
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You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
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[@jasonwayne4647]

legendary

[@jasonwayne4647]

Legend

[@jackjhmc820]

Thsnk you very much! Keep up the good work!

[@ControlTheGuh]

One suggestion, Factor Analysis in Python, Convex Optimization for risk management, copulas instead of var for portfolio risk management. I think most people are up to speed on python, it's the first thing they tell you to learn if you get into trading- I like the channel, but the topics have been very niche recently

[@samin3742]

Legend