Performance measurement with expectiles

Damiano Rossello ()
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Damiano Rossello: University of Catania

Decisions in Economics and Finance, 2022, vol. 45, issue 1, No 13, 343-374

Abstract: Abstract Financial performance evaluation is intimately linked to risk measurement methodologies. There exists a well-developed literature on axiomatic and operational characterization of measures of performance. Hinged on the duality between coherent risk measures and reward associated with investment strategies, we investigate representation of acceptability indices of performance using expectile-based risk measures that recently attracted a lot of attention inside the financial and actuarial community. We propose two purely expectile-based performance ratios other than the classical gain-loss ratio and the Omega ratio. We complement our analysis with elicitability of expectile-based acceptability indices and their conditional version accounting for new information flow.

Keywords: Acceptability indices; Expectile-based coherent risk measures; Elicitability; Conditional performance measure (search for similar items in EconPapers)
JEL-codes: C02 C21 C65 G11 G17 G20 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10203-022-00369-8

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