The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data

Jiro Hodoshima and Toshiyuki Yamawake
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Jiro Hodoshima: Faculty of Economics, Nagoya University of Commerce and Business, 4-4 Sagamine, Komenoki-cho, Nisshin-shi, Aichi 470-0193, Japan
Toshiyuki Yamawake: Faculty of Economics, Nagoya University of Commerce and Business, 4-4 Sagamine, Komenoki-cho, Nisshin-shi, Aichi 470-0193, Japan

JRFM, 2020, vol. 13, issue 11, 1-18

Abstract: 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.

Keywords: Aumann-Serrano performance index; multi-period gamble; Sharpe ratio; stock data (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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