Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239339 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 11 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-18
Publisher: 
MDPI, Basel
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.
Subjects: 
Aumann-Serrano performance index
multi-period gamble
Sharpe ratio
stock data
JEL: 
G11
C22
C46
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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