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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

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

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...

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

Evaluation of performance of stock and real estate investment trust markets in Japan

Hodoshima, Jiro - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 101-120

Persistent link: https://www.econbiz.de/10012585880

Stock performance by utility indifference pricing and the Sharpe ratio

Hodoshima, Jiro - In: Quantitative finance 19 (2019) 2, pp. 327-338

Persistent link: https://www.econbiz.de/10012194656

Stock performance evaluation incorporating high moments and disaster risk : evidence from Japan

Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Asia Pacific financial markets 27 (2020) 2, pp. 155-174

Persistent link: https://www.econbiz.de/10012222392

Comparison of utility indifference pricing and mean-variance approach under normal mixture

Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Finance research letters 24 (2018), pp. 221-229

Persistent link: https://www.econbiz.de/10011982579