Farinelli and Tibiletti ratio and stochastic dominance
Xu Guo (),
Cuizhen Niu () and
Wing-Keung Wong ()
Additional contact information
Xu Guo: Beijing Normal University
Cuizhen Niu: MSD R&D (China) Co., Ltd.
Risk Management, 2019, vol. 21, issue 3, 201-213
Abstract Farinelli and Tibiletti (F–T) ratio, a general risk-reward performance measurement ratio, is popular due to its simplicity and yet generality that both Omega ratio and upside potential ratio are its special cases. The F–T ratios are ratios of average gains to average losses with respect to a target, each raised by a power index, p and q. In this paper, we establish the consistency of F–T ratios with any nonnegative values p and q with respect to first-order stochastic dominance. Second-order stochastic dominance does not lead to F–T ratios with any nonnegative values p and q, but can lead to F–T dominance with any $$p
Keywords: First-order stochastic dominance; High-order stochastic dominance; Upside potential ratio; Farinelli and Tibiletti ratio; Risk measures (search for similar items in EconPapers)
JEL-codes: C0 D81 G10 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1057/s41283-019-00050-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
Working Paper: Farinelli and Tibiletti ratio and Stochastic Dominance (2017)
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:21:y:2019:i:3:d:10.1057_s41283-019-00050-2
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 ().