Niu, Cuizhen and Wong, WingKeung and Zhu, Lixing (2016): First Stochastic Dominance and Risk Measurement.

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Abstract
Farinelli and Tibiletti (2008) propose a general riskreward performance measurement ratio. Due to its simplicity and generality, the FT ratios have gained much attentions. FT ratios are ratios of average gains to average losses with respect to a target, each raised by some power index. Omega ratio and Upside Potential ratio are both special cases of FT ratios. In this paper, we establish the consistency of FT ratios with respect to firstorder stochastic dominance. It is shown that secondorder stochastic dominance is not consistent to the FT ratios. This point is illustrated by a simple example.
Item Type:  MPRA Paper 

Original Title:  First Stochastic Dominance and Risk Measurement 
English Title:  First Stochastic Dominance and Risk Measurement 
Language:  English 
Keywords:  Stochastic Dominance, Upside Potential Ratio, Farinelli and Tibiletti ratio. 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C00  General D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty G  Financial Economics > G1  General Financial Markets > G10  General 
Item ID:  75027 
Depositing User:  WingKeung Wong 
Date Deposited:  12 Nov 2016 07:05 
Last Modified:  14 Nov 2016 17:01 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/75027 