Kappa ratios and (higher-order) stochastic dominance
Wing-Keung Wong () and
Additional contact information
Cuizhen Niu: Beijing Normal University
Qunfang Xu: Ningbo University
Risk Management, 2017, vol. 19, issue 3, 245-253
Abstract This paper first shows the sufficient relationship between the $$(n+1)$$ ( n + 1 ) -order SD and the n-order Kappa ratio. In fact, we clarify the restrictions on necessary beating of the target for the higher-order SD consistency of the Kappa ratios. Thereafter, we show that, in general, the necessary relationship between SD/RSD and the Kappa ratio cannot be established. We find that when the variables being compared belong to the same location-scale family or the same linear combination of location-scale families, we can get the necessary relationship between the $$(n+1)$$ ( n + 1 ) -order SD with the n-order Kappa ratio after imposing some conditions on the means. Our findings enable academics and practitioners to draw better decision in their analysis.
Keywords: Stochastic dominance; Kappa ratio; Omega ratio; Sortino ratio; Mean-risk analysis; Risk aversion (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1057/s41283-017-0020-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pal:risman:v:19:y:2017:i:3:d:10.1057_s41283-017-0020-1
Ordering information: This journal article can be ordered from
Access Statistics for this article
Risk Management is currently edited by Igor Loncarski
More articles in Risk Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla ().