The Aumann-Serrano performance index of Dow 30 components and Dow Jones industrial average before and after the global financial crisis

DOI10.17654/0972086324004MaRDI QIDQ6547422

Jiro Hodoshima

Publication date: 30 May 2024

Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)

zbMATH Keywords

performance measureSharpe ratioglobal financial crisisAumann-Serrano performance index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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