Evaluation by the Aumann and Serrano performance index and Sharpe ratio: Bitcoin performance
Evaluation by the Aumann and Serrano performance index and Sharpe ratio: Bitcoin performance
复制标题
DOI：
10.1080/00036846.2019.1591601
复制
发表时间：
2019-04
影响因子：
2.2
通讯作者：
J. Hodoshima;N. Otsuki
中科院分区：
文献类型：
--
作者：
J. Hodoshima;N. Otsuki
摘要我们基于Aumann和塞拉诺性能指数和夏普比率比较比特币的性能，假设资产收益遵循离散正态混合分布。Aumann和塞拉诺业绩指数可以考虑到基础资产分布的较高时刻，并与风险厌恶型投资者相关。我们根据Aumann和塞拉诺指数相对于其他资产的表现来评估比特币的表现。我们的评估显示，比特币在夏普比率中的评级很高，但在奥曼和塞拉诺指数中的评级很低。我们还发现，当投资期限为每月时，一些股票资产可以通过夏普比率击败比特币。
ABSTRACT We compare Bitcoin performance based on the Aumann and Serrano performance index and Sharpe ratio assuming that asset returns follow the class of discrete normal mixture distributions. The Aumann and Serrano performance index can take into account higher moments of the underlying distribution of assets and is relevant for risk-averse investors. We evaluate Bitcoin performance based on the Aumann and Serrano index relative to the performance of other assets. Our evaluation shows that Bitcoin is rated highly by the Sharpe ratio but rated very poorly by the Aumann and Serrano index. We also find some stock assets can beat Bitcoin by the Sharpe ratio when an investment horizon is monthly.