Technical Note-Ranking Distributions When Only Means and Variances Are Known
成果类型：
Article; Early Access
署名作者：
Mueller, Alfred; Scarsini, Marco; Tsetlin, Ilia; Winkler, Robert L.
署名单位：
Universitat Siegen; Luiss Guido Carli University; INSEAD Business School; Duke University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.2020.2072
发表日期：
2021
关键词：
摘要：
Consider a choice between two random variables, for which only means and variances are known. Is it possible to rank them by putting some constraints on risk preferences? We provide such a ranking by bounding how much marginal utility can change. Such bounds enable us to rank all distributions with given means and variances by first-order almost-stochastic dominance. We show how our results can be used to compare a risky project and a sure payoff and also provide a new connection between the Sharpe and Omega ratios from finance.
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