Search Results - subject:"Aumann-Serrano performance index"

Sensitivity of performance indexes to disaster risk

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Risks 9 (2021) 2, pp. 1-22

. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and …

Persistent link: https://www.econbiz.de/10013200709

Sensitivity of performance indexes to disaster risk

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Risks : open access journal 9 (2021) 2/40, pp. 1-22

. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and …

Persistent link: https://www.econbiz.de/10012483189

The Aumann-Serrano performance index for multi-period gambles in stock data

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-18

We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying … stochastic process is assumed to be a normal mixture process with time-varying volatility. We compare the Aumann-Serrano … performance index for multi-period gambles with that for one-period gambles as well as the Sharpe ratio. Our empirical study is …

Persistent link: https://www.econbiz.de/10012611480

The Aumann-Serrano performance index for multi-period gambles in stock data

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Journal of risk and financial management : JRFM 13 (2020) 11/288, pp. 1-18

Persistent link: https://www.econbiz.de/10012388236

Comparing dynamic and static performance indexes in the stock market : evidence from Japan

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Asia Pacific financial markets 29 (2022) 2, pp. 171-193

Persistent link: https://www.econbiz.de/10013260054

The computational property of the Aumann-Serrano performance index under risk-averse and risk-loving preference

Hodoshima, Jiro - In: Finance research letters 39 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012805213