Theory and Application of an Economic Performance Measure of Risk

Cuizhen Niu, Xu Guo (), Michael McAleer and Wing-Keung Wong
Additional contact information
Cuizhen Niu: Beijing Normal University, China

No 17-055/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

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 dfference of EPMs for two independent samples. We also derive the asymptotic distribution for EPM and for the dfference 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: 2017-06-23
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://papers.tinbergen.nl/17055.pdf (application/pdf)

Related works:
Journal Article: Theory and application of an economic performance measure of risk (2018)
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:tin:wpaper:20170055

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().