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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

Comparing dynamic and static performance indexes in the stock market : evidence from Japan

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Asia Pacific financial markets 29 (2022) 2, pp. 171-193

Persistent link: https://www.econbiz.de/10013260054

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

The computational property of the Aumann-Serrano performance index under risk-averse and risk-loving preference

Hodoshima, Jiro - In: Finance research letters 39 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012805213

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

Stock performance evaluation incorporating high moments and disaster risk : evidence from Japan

Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Asia Pacific financial markets 27 (2020) 2, pp. 155-174

Persistent link: https://www.econbiz.de/10012222392

Comparison of utility indifference pricing and mean-variance approach under normal mixture

Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Finance research letters 24 (2018), pp. 221-229

Persistent link: https://www.econbiz.de/10011982579