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Objective acceptability indexes
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DOI：10.1016/j.irfa.2024.103459.png)
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Abstract
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Based on the financial efficiency and leverage effect, this study classifies the measures of reward, risk, and performance into simple and compound types. We generalize three problems of observation inconsistency, overleverage deception, and dynamic manipulation behind classical simple measures (such as variability, LPM, VaR, and regression-based measures), and two problems of observation inconsistency and leverage variance behind traditional drawdown-based compound measures. We employ an axiomatic approach to answer the question of what undesirable influences measures should avoid, and complement the axiomatic framework with objective acceptability indexes by separating useless influences that do not add value for investors. We also develop new compound measures to solve the general problems with empirical evidence.
Keywords:
Objective acceptability index
Observation consistency
Compound leverage invariance
Static leverage level manipulation
Overleverage deception
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