T paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810–836) and Foster and Hart (Foster, D. P., S. Hart. 2009. An operational measure of riskiness. J. Political Econom. 117(5) 785–814). The paper introduces the generalized options’ impli...

We analyze the stability of efficiency rankings of German universal banks between 1993 and 2004. First, we estimate traditional efficiency scores with stochastic cost and alternative profit frontier analysis. Then, we explicitly allow for different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal demand system, we estimate inp...

In this article, the authors construct a pipeline to benchmark hierarchical risk parity (HRP) relative equal contribution (ERC) as examples of diversification strategies allocating liquid multi-asset futures markets with dynamic leverage (volatility target). The use interpretable machine learning concepts (explainable AI) compare robustness and back out implicit rules for decision-making. empir...

OBJECTIVE to create a method for assessing physician performance and care outcomes that are adjusted for procedure acuity and patient comorbidity. DESIGN between 2004 and 2008 surgical procedures performed by 10 surgeons were stratified into high-acuity procedures (HAPs) and low-acuity procedures (LAPs). Risk adjustment was made for comorbid conditions examined singly or in groups of 2 or mor...

Measures for evaluating the performance of a mutual fund or other managed portfolio are interpreted as the difference between the average return of the fund and that of an appropriate benchmark portfolio. Traditional measures use a fixed benchmark to match the average risk of the fund. Conditional performance measures use a dynamic strategy as the benchmark, matching the fund’s risk dynamics. T...

This paper systematically investigates the properties of six kinds of entropy-based risk measures: Information Entropy and Cumulative Residual Entropy in the probability space, Fuzzy Entropy, Credibility Entropy and Sine Entropy in the fuzzy space, and Hybrid Entropy in the hybridized uncertainty of both fuzziness and randomness. We discover that none of the risk measures satisfy all six of the...