In reading some hedge fund research papers, I came across the term "expected regret". I feel like it can be applied to real life... as I understand it, expected regret is average underperformance of X compared to some benchmark performance Y. Obviously you want to minimize expected regret. Sounds like game theory of dating or life or something, haha. There's definitely some potential here.
Definition:
Expected Regret
Expected Regret is defined as the average portfolio underperformance comparing to a fixed target or some benchmark portfolio.
There is a close relationship between Expected Regret and Conditional VaR (=expected loss exceeding an alpha-Value-At-Risk, i.e. the mean of the worst (1-alpha)*100% losses in a specified time period).
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