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

DOI10.1007/S10690-019-09287-ZzbMath1454.91249OpenAlexW2980902299WikidataQ127095062 ScholiaQ127095062MaRDI QIDQ2216390

Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara

Publication date: 15 December 2020

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09287-z

zbMATH Keywords

GMM estimationAumann and Serrano performance indexJapanese stocks

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Both sensitive value measure and its applications

Cites Work

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• Dynamic monetary risk measures for bounded discrete-time processes
• Utility indifference pricing and the Aumann-Serrano performance index
• Existence and computation of the Aumann-Serrano index of riskiness and its extension
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• The Foster-Hart measure of riskiness for general gambles
• Stock performance by utility indifference pricing and the Sharpe ratio

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