Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a … assets with the index to track. This approach permits handling non-linear and nonconvex objectives functions that are … difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the …

. 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. These performance indexes provide evaluations sensitive to the … literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively …

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI …

tool is needed. Developed by Peter Martin in 1987, the Ulcer Index measures the human stress of holding a stock. Ulcer … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …. The more continuous and prolonged the drawdown, the higher the index and the more likely investing in it will cause ulcers …

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 …