Theory and application of an economic performance measure of risk

Cuizhen Niu, Xu Guo (), Michael McAleer and Wing-Keung Wong

International Review of Economics & Finance, 2018, vol. 56, issue C, 383-396

Abstract: Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence intervals for the difference of EPMs for two independent samples. We also derive the asymptotic distribution for EPM and for the difference of two EPMs when the samples are independent. We conduct simulations to show the proposed theory performs well for one and two independent samples. The simulations show that the proposed approach is robust in the dependent case. The theory developed is used to construct both one-sample and two-sample confidence intervals of EPMs for Singapore and USA stock indices.

Keywords: Economic performance measure; Asymptotic confidence interval; Bootstrap-based confidence interval; Method of variance estimates recovery (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056017306135
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Theory and Application of an Economic Performance Measure of Risk (2017)
Working Paper: Theory and Application of an Economic Performance Measure of Risk (2017)
Working Paper: Theory and Application of an Economic Performance Measure of Risk (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:56:y:2018:i:c:p:383-396

DOI: 10.1016/j.iref.2017.11.007

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().