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Indexing Gamble Desirability by Extending Proportional Stochastic Dominance

Author

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  • Ziv Hellman

    (Bar-Ilan University)

  • Amnon Schreiber

    (Bar-Ilan University)

Abstract

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.

Suggested Citation

  • Ziv Hellman & Amnon Schreiber, 2016. "Indexing Gamble Desirability by Extending Proportional Stochastic Dominance," Working Papers 2016-06, Bar-Ilan University, Department of Economics.
    • Handle: RePEc:biu:wpaper:2016-06
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    References listed on IDEAS

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    1. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
    2. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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