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arXiv · 1911.02261

Acceptability Indices of Performance for Bounded Càdlàg Processes

Christos E. Kountzakis·Damiano Rossello
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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 càdlàg 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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Christos E. Kountzakis, Damiano Rossello. 2019-11-06. Acceptability Indices of Performance for Bounded Càdlàg Processes. https://doi.org/10.1080/17442508.2019.1687705

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