We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying …-Serrano performance index for multi-period gambles with that for one-period gambles as well as the Sharpe ratio. Our empirical study is …

informational efficiency. The empirical evidence is based on the emerging stock market of Pakistan. Index-level data are collected … from Pakistan Stock Exchange-100 Index for the period 1995-2022. The rebalancing is done each year to ensure that the final …

opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system …

BTCUSD and the Cyptocurrency Index (CRIX) are generated by making use of the symmetric GARCH option pricing model. The …

understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong … relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in …-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other … S&P 500 index companies, survivor stocks tend to be small-value stocks that exhibit high profitability and invest …