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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

Sensitivity of performance indexes to disaster risk

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

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and Foster-Hart performance index proposed by Kadan and Liu....

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

Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes

Hodoshima, Jiro; Yamawake, Toshiyuki - In: International review of financial analysis 83 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013454995