Sensitivity of performance indexes to disaster risk
Year of publication: |
2021
|
---|---|
Authors: | Hodoshima, Jiro ; Yamawake, Toshiyuki |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 2, p. 1-22
|
Publisher: |
Basel : MDPI |
Subject: | Aumann-Serrano performance index | Foster-Hart performance index | maximum loss | Sharpe ratio |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/risks9020040 [DOI] 1751173437 [GVK] hdl:10419/258129 [Handle] |
Classification: | G11 - Portfolio Choice ; C22 - Time-Series Models ; c46 |
Source: |
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Sensitivity of performance indexes to disaster risk
Hodoshima, Jiro, (2021)
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The Aumann-Serrano performance index for multi-period gambles in stock data
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