2026-06-27T12:27:54Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/229092023-08-11T07:23:49Zcom_20.500.14352_14col_20.500.14352_17
Docta Complutense
author
Niu, Cuizhen
author
Guo, Xu
author
McAleer, Michael
author
Wong, Wing-Keung
2023-06-18T05:38:31Z
2023-06-18T05:38:31Z
2017
https://hdl.handle.net/20.500.14352/22909
https://www.ucm.es/icae
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.
eng
Atribución-NoComercial-CompartirIgual 3.0 España
Theory and Application of an Economic Performance Measure of Risk
technical report
URL
https://docta.ucm.es/bitstreams/06fc4058-b14b-4463-ba49-46914e77463a/download
File
MD5
ad336c9325be1185f080e3e15c3038ce
559719
application/pdf
1718.pdf