We evaluate stock market indexes by the Aumann–Serrano (AS) performance index for multi-period gambles and one-period gambles and the Sharpe ratio. Our results show the AS performance index is more distinct for multi-period gambles than for one-period gambles in evaluation of the Japanese stock market indexes. In other words, a favorable evaluation score as compared to the Sharpe ratio becomes even better in multi-period gambles than in one-period gambles while an unfavorable evaluation score compared to the Sharpe ratio becomes even worse in multi-period gambles than in one-period gambles.

中文翻译：

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比较股票市场的动态和静态表现指数：来自日本的证据

我们通过 Aumann-Serrano (AS) 多期赌博和单期赌博的绩效指数以及夏普比率来评估股票市场指数。我们的结果表明，在评估日本股市指数时，多期赌博的 AS 表现指数比单期赌博的表现指数更明显。换句话说，与夏普比率相比，有利的评估分数在多期赌博中变得比单期赌博更好，而与夏普比率相比不利的评估分数在多期赌博中变得比单期赌博更差。期间赌博。