Acceptability Indices of Performance for Bounded C`adl`ag Processes. (arXiv:1911.02261v1 [q-fin.MF])

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 c`adl`ag 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.