Niu, Cuizhen and Wong, WingKeung and Xu, Qunfang (2017): HigherOrder Risk Measure and (HigherOrder) Stochastic Dominance.

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Abstract
This paper extends the theory between Kappa ratio and stochastic dominance (SD) and riskseeking SD (RSD) by establishing several relationships between first and higherorder risk measures and (higherorder) SD and RSD. We first show the sufficient relationship between the (n+1)order SD and the norder Kappa ratio. We then find that, in general, the necessary relationship between SD/RSD and the Kappa ratio cannot be established. Thereafter, we find that when the variables being compared belong to the same locationscale family or the same linear combination of locationscale families, we can get the necessary relationships between the (n+1)order SD with the norder Kappa ratio when we impose some conditions on the means. Our findings enable academics and practitioners to draw better decision in their analysis.
Item Type:  MPRA Paper 

Original Title:  HigherOrder Risk Measure and (HigherOrder) Stochastic Dominance 
English Title:  HigherOrder Risk Measure and (HigherOrder) Stochastic Dominance 
Language:  English 
Keywords:  Stochastic Dominance, Kappa ratio, Omega Ratio, Sortino ratio, meanrisk analysis, risk aversion, risk seeking 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods 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:  75948 
Depositing User:  WingKeung Wong 
Date Deposited:  03 Jan 2017 11:31 
Last Modified:  03 Jan 2017 11:31 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/75948 