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 cadlag 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.

Acceptability indices of performance for bounded càdlàg processes

Rossello D.
2020

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 cadlag 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.
Acceptability indices; Banach lattice; càdlàg processes; intra-horizon risk; performance measures for processes; RAROC
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11769/371744
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