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Both Sensitive Value Measure and its Applications

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  • Yoshio Miyahara

    (Nagoya City University)

Abstract

In this paper we introduce the both sensitive value measure, which is an extended value measure of the risk sensitive value measure. We also introduce aggressiveness index, and we apply these concepts to the evaluation of venture businesses.

Suggested Citation

  • Yoshio Miyahara, 2022. "Both Sensitive Value Measure and its Applications," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 357-379, June.
    • Handle: RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09352-6
    DOI: 10.1007/s10690-021-09352-6
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    References listed on IDEAS

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    1. Jiro Hodoshima & Tetsuya Misawa & Yoshio Miyahara, 2020. "Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 155-174, June.
    2. Hodoshima, Jiro & Misawa, Tetsuya & Miyahara, Yoshio, 2018. "Comparison of utility indifference pricing and mean-variance approach under normal mixture," Finance Research Letters, Elsevier, vol. 24(C), pages 221-229.
    3. Yoshio Miyahara, 2020. "Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 193-212, June.
    4. Hodoshima, Jiro & Miyahara, Yoshio, 2020. "Utility indifference pricing and the Aumann–Serrano performance index," Journal of Mathematical Economics, Elsevier, vol. 86(C), pages 83-89.
    5. Jiro Hodoshima, 2019. "Stock performance by utility indifference pricing and the Sharpe ratio," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 327-338, February.
    Full references (including those not matched with items on IDEAS)

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