The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data
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 one-per...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
|
| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/13/11/288 |
| Summary: | 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 one-period gambles as well as the Sharpe ratio. Our empirical study is obtained using a selection of U.S. stock data and shows evaluation of a selection of stocks becomes more distinct in multi-period gambles than in one-period gambles in the sense that a favorable evaluation score becomes even better in multi-period gambles than in one-period gambles while an unfavorable evaluation score becomes even worse in multi-period gambles than in one-period gambles. |
|---|---|
| ISSN: | 1911-8066 1911-8074 |