Indexing gamble desirability by extending proportional stochastic dominance

Ziv Hellman; Amnon Schreiber

doi:10.1016/j.geb.2018.02.003

Indexing gamble desirability by extending proportional stochastic dominance

Ziv Hellman, Amnon Schreiber

Department of Economics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

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 language	English
Pages (from-to)	523-543
Number of pages	21
Journal	Games and Economic Behavior
Volume	109
DOIs	https://doi.org/10.1016/j.geb.2018.02.003
State	Published - May 2018

Bibliographical note

Publisher Copyright:
© 2018 Elsevier Inc.

Keywords

Absolute risk
Indices of riskiness
Relative risk
Risk aversion

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10.1016/j.geb.2018.02.003

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KW - Relative risk

KW - Risk aversion

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Indexing gamble desirability by extending proportional stochastic dominance

Abstract

Bibliographical note

Keywords

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