RT Report
T1 Theory and Application of an Economic Performance Measure of Risk
A1 Niu, Cuizhen
A1 Guo, Xu
A1 McAleer, Michael
A1 Wong, Wing-Keung
AB Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence intervals for the difference of EPMs for two independent samples. We also derive the asymptotic distribution for EPM and for the difference of two EPMs when the samples are independent. We conduct simulations to show the proposed theory performs well for one and two independent samples. The simulations show that the proposed approach is robust in the dependent case. The theory developed is used to construct both onesample and two-sample confidence intervals of EPMs for Singapore and USA stock indices.
PB Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
YR 2017
FD 2017
LK https://hdl.handle.net/20.500.14352/22909
UL https://hdl.handle.net/20.500.14352/22909
LA eng
DS Docta Complutense
RD 9 jun 2025