Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/173743 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Working Paper No. 2016-06
Verlag: 
Bar-Ilan University, Department of Economics, Ramat-Gan
Zusammenfassung: 
We axiomatically characterise two new orders of desirability of gambles (risky assets) that are natural extensions of the proportional stochastic dominance order to complete orders. These orders are represented by indices with parallels to the recently introduced Aumann-Serrano index of riskiness and the Foster-Hart measure of riskiness. The new indices are shown to be related to the concept of coherent measures of risk and to the Sharpe ratio.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
414.74 kB





Publikationen in EconStor sind urheberrechtlich geschützt.