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.
Original language | English |
---|---|
Pages (from-to) | 245-253 |
Number of pages | 9 |
Journal | Risk Management |
Volume | 19 |
Issue number | 3 |
DOIs | |
Publication status | Published - 1 Aug 2017 |
Externally published | Yes |
Keywords
- Kappa ratio
- Mean-risk analysis
- Omega ratio
- Risk aversion
- Sortino ratio
- Stochastic dominance