Acceptability indices of performance for bounded càdlàg processes

DOI10.1080/17442508.2019.1687705MaRDI QIDQ5086526zbMATH OpenOpenAlexFDO

Authors Damiano Rossello, Christos E. Kountzakis

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.02261

zbMATH Keywords

acceptability indicesBanach latticecàdlàg processesintra-horizon riskperformance measures for processesRAROC

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Sample path properties (60G17) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Abstract: Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of c`adl`ag processes modelling cash flows over a fixed investment horizon.We provide a representation result for bounded paths. We suggest an acceptability index based both on the static Average Value-at-Risk functional and the running minimum of the paths, which eventually represents a RAROC-type model. Some numerical comparisons clarify the magnitude of performance evaluation for processes.

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Cites work

• A jump-diffusion model for option pricing
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Cited in

(4)

• Monetary risk measures for stochastic processes via Orlicz duality
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Short communication: utility-based acceptability indices
• Star-shaped acceptability indexes

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