Survival prognosis is challenging, and accurate prediction of individual survival times is often very difficult. Better statistical methodology and more data can help improve the prognostic models, but it is important that methods and data usages are evaluated properly. The Prostate Cancer DREAM Challenge offered a framework for training and blinded validation of prognostic models using a large and rich dataset on patients diagnosed with metastatic castrate resistant prostate cancer. Using the Prostate Cancer DREAM Challenge data we investigated and compared an array of methods combining imputation techniques of missing values for prognostic variables with tree-based and lasso-based variable selection and model fitting methods. The benchmark metric used was integrated AUC (iAUC), and all methods were benchmarked using cross-validation on the training data as well as via the blinded validation. We found that survival forests without prior variable selection achieved the best overall performance (cv-iAUC = 0.70, validation-iACU = 0.78), while a generalized additive model was best among those methods that used explicit prior variable selection (cv-iAUC = 0.69, validation-iACU = 0.76). Our findings largely concurred with previous results in terms of the choice of important prognostic variables, though we did not find the level of prostate specific antigen to have prognostic value given the other variables included in the data.