Farinelli and Tibiletti ratio and Stochastic Dominance

Cuizhen Niu, Wing-Keung Wong and Lixing Zhu

MPRA Paper from University Library of Munich, Germany

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)
Date: 2017-11-16
New Economics Papers: this item is included in nep-ore and nep-rmg
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Related works:
Journal Article: Farinelli and Tibiletti ratio and stochastic dominance (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:82737

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