Indexing Gamble Desirability by Extending Proportional Stochastic Dominance
Speaker
Amnon Schreiber
Date
24/05/2016 - 12:30 - 11:00Add To Calendar
2016-05-24 11:00:00
2016-05-24 12:30:00
Indexing Gamble Desirability by Extending Proportional Stochastic Dominance
Abstract. We axiomatically characterize 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.
Economics building (No. 504), room 011.
אוניברסיטת בר-אילן - Department of Economics
Economics.Dept@mail.biu.ac.il
Asia/Jerusalem
public
Place
Economics building (No. 504), room 011.
Affiliation
Bar-Ilan University
Abstract
Abstract. We axiomatically characterize 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.
Last Updated Date : 11/05/2016
