Indexing gamble desirability by extending proportional stochastic dominance

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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.

Original languageEnglish
Pages (from-to)523-543
Number of pages21
JournalGames and Economic Behavior
StatePublished - May 2018

Bibliographical note

Publisher Copyright:
© 2018 Elsevier Inc.


  • Absolute risk
  • Indices of riskiness
  • Relative risk
  • Risk aversion


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