Stock performance by utility indifference pricing and the Sharpe ratio

DOI10.1080/14697688.2018.1478121zbMath1420.91547OpenAlexW2884959305MaRDI QIDQ5234296

Jiro Hodoshima

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1478121

zbMATH Keywords

performance measureSharpe ratioutility indifference pricingnormal mixturethe inner rate of risk aversion

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial science and mathematical finance (91G99)

Related Items (6)

Comparing dynamic and static performance indexes in the stock market: evidence from Japan ⋮ Both sensitive value measure and its applications ⋮ Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan ⋮ Inner rate of risk aversion (IRRA) and its applications to investment selection ⋮ Utility indifference pricing and the Aumann-Serrano performance index ⋮ A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness

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• Dynamic monetary risk measures for bounded discrete-time processes
• Monotone Sharpe ratios and related measures of investment performance
• An Economic Index of Riskiness
• The elements of statistical learning. Data mining, inference, and prediction

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