Ranking Metrics: Extending Acceptability and Performance Indexes
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866915943107526656 |
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| author | Hitaj, Asmerilda Mastrogiacomo, Elisa Peri, Ilaria Righi, Marcelo |
| author_facet | Hitaj, Asmerilda Mastrogiacomo, Elisa Peri, Ilaria Righi, Marcelo |
| contents | This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk-adjusted performance measures-such as the Sharpe ratio, RAROC, or Omega-that express reward per unit of risk, ranking metrics assign each position a performance level rather than a normalized return. Relying on monotonicity and a new property called cash-quasiconcavity, we derive representation results linking ranking metrics to families of acceptance sets and risk measures, extending the theory of acceptability indices. Classical ratios arise as special cases, while new examples-based on expected-loss, Lambda-quantile, and bibliometric indices-illustrate the framework's flexibility. Empirical applications to portfolio ranking and climate-risk insurance demonstrate its practical relevance. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_16438 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Ranking Metrics: Extending Acceptability and Performance Indexes Hitaj, Asmerilda Mastrogiacomo, Elisa Peri, Ilaria Righi, Marcelo Risk Management Probability Mathematical Finance This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk-adjusted performance measures-such as the Sharpe ratio, RAROC, or Omega-that express reward per unit of risk, ranking metrics assign each position a performance level rather than a normalized return. Relying on monotonicity and a new property called cash-quasiconcavity, we derive representation results linking ranking metrics to families of acceptance sets and risk measures, extending the theory of acceptability indices. Classical ratios arise as special cases, while new examples-based on expected-loss, Lambda-quantile, and bibliometric indices-illustrate the framework's flexibility. Empirical applications to portfolio ranking and climate-risk insurance demonstrate its practical relevance. |
| title | Ranking Metrics: Extending Acceptability and Performance Indexes |
| topic | Risk Management Probability Mathematical Finance |
| url | https://arxiv.org/abs/2604.16438 |