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....

We present comparative performance of cryptocurrencies by the performance index based on the Aumann-Serrano –henceforth, AS– economic index of riskiness. We consider three cryptocurrencies: Bitcoin, Ethereum and Binance-coin, which have the largest market capitalizations among all...

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...