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...