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 càdlàg 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.

中文翻译：

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有界càdlàg流程的性能可接受性指标

摘要

可接受性指标非常适合用来构架与最终随机现金流量相关的许多绩效指标的公理特征。我们将此概念扩展到对固定投资范围内的现金流量建模的càdlàg流程类别。我们提供有界路径的表示结果。我们建议基于静态风险平均值和路径的运行最小值的可接受性指标，该路径最终代表了RAROC类型的模型。一些数值比较阐明了过程绩效评估的重要性。