Indexing gamble desirability by extending proportional stochastic dominance

• 成果类型: Article
• 署名作者: Hellman, Ziv; Schreiber, Amnon
• 署名单位: Bar Ilan University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2018.02.003
• 发表日期: 2018
• 页码: 523-543
• 关键词: Indices of riskiness; risk aversion; Absolute risk; Relative risk

摘要

We characterise two new orders of desirability of gambles (risky assets) that are natural extensions of the stochastic dominance order to complete orders, based on choosing optimal proportions of gambles. These orders are represented by indices, which we term the S index and the G index, that are characterised axiomatically and by wealth and utility uniform dominance concepts. The S index can be viewed as a generalised Sharpe ratio, and the G index can be used for maximising the growth path of a portfolio. (C) 2018 Elsevier Inc. All rights reserved.