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arXiv · 1911.02261

Acceptability Indices of Performance for Bounded C\`adl\`ag 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 c\`adl\`ag 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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BibTeXRIS

Christos E. Kountzakis, Damiano Rossello. 2019-11-06. Acceptability Indices of Performance for Bounded C\`adl\`ag Processes. https://doi.org/10.1080/17442508.2019.1687705

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