Acceptability Indices of Performance for Bounded C\`adl\`ag Processes

Christos E. Kountzakis and Damiano Rossello

Papers from arXiv.org

Abstract: Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of c\`adl\`ag processes modelling cash flows over a fixed investment horizon.We provide a representation result for bounded paths. We suggest an acceptability index based both on the static Average Value-at-Risk functional and the running minimum of the paths, which eventually represents a RAROC-type model. Some numerical comparisons clarify the magnitude of performance evaluation for processes.

Date: 2019-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1911.02261 Latest version (application/pdf)

Related works:
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:arx:papers:1911.02261

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().