Arbeitspapier
Theory and Application of an Economic Performance Measure of Risk
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 dfference of EPMs for two independent samples. We also derive the asymptotic distribution for EPM and for the dfference 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 one-sample and two-sample confidence intervals of EPMs for Singapore and USA stock indices.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 17-055/III
- Classification
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
- Subject
-
Economic performance measure
Asymptotic confidence interval
Bootstrap-based confidence interval
Method of variance estimates recovery
- Event
-
Geistige Schöpfung
- (who)
-
Niu, Cuizhen
Guo, Xu
McAleer, Michael
Wong, Wing-keung
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Niu, Cuizhen
- Guo, Xu
- McAleer, Michael
- Wong, Wing-keung
- Tinbergen Institute
Time of origin
- 2017
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