Text
Technical Note—Ranking Distributions When Only Means and Variances Are Known
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.
Barcode | Tipe Koleksi | Nomor Panggil | Lokasi | Status | |
---|---|---|---|---|---|
art144083 | null | Artikel | Gdg9-Lt3 | Tersedia namun tidak untuk dipinjamkan - No Loan |
Tidak tersedia versi lain