Indexing gamble desirability by extending proportional stochastic dominance

Ziv Hellman and Amnon Schreiber

Games and Economic Behavior, 2018, vol. 109, issue C, 523-543

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.

Keywords: Indices of riskiness; Risk aversion; Absolute risk; Relative risk (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:109:y:2018:i:c:p:523-543

DOI: 10.1016/j.geb.2018.02.003

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