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Sensitivity of performance indexes to disaster risk

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Risks : open access journal 9 (2021) 2/40, pp. 1-22

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and Foster-Hart performance index proposed by Kadan and Liu....

Persistent link: https://www.econbiz.de/10012483189

Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes

Hodoshima, Jiro; Yamawake, Toshiyuki - In: International review of financial analysis 83 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013454995

Evaluation of performance of stock and real estate investment trust markets in Japan

Hodoshima, Jiro - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 101-120

Persistent link: https://www.econbiz.de/10012585880

Stock performance by utility indifference pricing and the Sharpe ratio

Hodoshima, Jiro - In: Quantitative finance 19 (2019) 2, pp. 327-338

Persistent link: https://www.econbiz.de/10012194656

Evaluation by the Aumann and Serrano performance index and Sharpe ratio : Bitcoin performance

Hodoshima, Jiro; Otsuki, Nana - In: Applied economics 51 (2019) 39, pp. 4282-4298

Persistent link: https://www.econbiz.de/10012197003