Stock performance by utility indifference pricing and the Sharpe ratio
Stock performance by utility indifference pricing and the Sharpe ratio
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公用事业无差异定价和夏普比率的股票表现
DOI：
10.1080/14697688.2018.1478121
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
Ｊｉｒｏ Ｈｏｄｏｓｈｉｍａ
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文献类型：
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作者：
J. Hodoshima;T. Misawa;and Y. Miyahara;Atsue Mizushima;Kengo Kurosaka;Jiro Hodoshima and Toshiyuki Yamawake;Ｊｉｒｏ Ｈｏｄｏｓｈｉｍａ
我们比较股票表现的基础上，效用无差别定价和夏普比率假设股票收益率遵循离散正态混合分布类。具有指数效用函数的效用无差别价格满足几个理想的性质，一个合适的价值测度应该满足这些性质。对于效用无差别定价，我们采用Miyahara提出的内部风险厌恶率[评估规模风险。RIMS Kokyuroku，No. 1886，Financial Modeling and Analysis（2013/11/20-2013/11/22），181-188，2014]，这是为了评估股票表现而使具有指数效用函数的效用无差别价格为零的风险厌恶程度。使用美国股票的选择，结果表明，基于风险厌恶的内部比率的股票表现的评估是更相关的风险厌恶的投资者比夏普比率，其中代表的前两个时刻的表现。
We compare stock performance based on utility indifference pricing and the Sharpe ratio assuming that stock returns follow the class of discrete normal mixture distributions. The utility indifference price with an exponential utility function satisfies several desirable properties that a suitable value measure should satisfy. For utility indifference pricing, we employ the inner rate of risk aversion proposed by Miyahara [Evaluation of the scale risk. RIMS Kokyuroku, No. 1886, Financial Modeling and Analysis (2013/11/20-2013/11/22), 181–188, 2014], which is the degree of risk aversion that makes the utility indifference price with the exponential utility function zero in order to evaluate stock performance. Using a selection of U.S. stocks, the results show that the evaluation of stock performance based on the inner rate of risk aversion is more relevant for risk-averse investors than that based on the Sharpe ratio, which represents performance by the first two moments.