Kadan, Ohad; Liu, Fang - In: Journal of Financial Economics 113 (2014) 1, pp. 131-155
Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (2008) and Foster and Hart (2009) as performance indices. We derive the moment properties of these indices and their...