The Aumann-Serrano performance index of Dow 30 components and Dow Jones industrial average before and after the global financial crisis

DOI10.17654/0972086324004MaRDI QIDQ6547422zbMATH OpenFDO

Authors Jiro Hodoshima

Publication date 30 May 2024

Published in Far East Journal of Theoretical Statistics (Search for Journal in Brave)

zbMATH Keywords

Sharpe ratioglobal financial crisisperformance measureAumann-Serrano performance index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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Cites work

• An economic index of riskiness
• Stock performance by utility indifference pricing and the Sharpe ratio
• The Foster-Hart measure of riskiness for general gambles
• Utility indifference pricing and the Aumann-Serrano performance index

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