Abstract
| 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 |
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Keywords
- Kappa ratio
- Mean-risk analysis
- Omega ratio
- Risk aversion
- Sortino ratio
- Stochastic dominance
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Kappa ratios and (higher-order) stochastic dominance. / NIU, Cuizhen; WONG, Wing Keung; XU, Qunfang.
In: Risk Management, Vol. 19, No. 3, 01.08.2017, p. 245-253.Research output: Journal Publications › Journal Article (refereed)
TY - JOUR
T1 - Kappa ratios and (higher-order) stochastic dominance
AU - NIU, Cuizhen
AU - WONG, Wing Keung
AU - XU, Qunfang
PY - 2017/8/1
Y1 - 2017/8/1
N2 - 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)$$ (n + 1) -order SD with the n-order Kappa ratio after imposing some conditions on the means. Our findings enable academics and practitioners to draw better decision in their analysis.
AB - This paper first shows the sufficient relationship between the $$(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.
KW - Kappa ratio
KW - Mean-risk analysis
KW - Omega ratio
KW - Risk aversion
KW - Sortino ratio
KW - Stochastic dominance
UR - http://commons.ln.edu.hk/sw_master/6706
U2 - 10.1057/s41283-017-0020-1
DO - 10.1057/s41283-017-0020-1
M3 - Journal Article (refereed)
VL - 19
SP - 245
EP - 253
JO - Risk Management
JF - Risk Management
SN - 1460-3799
IS - 3
ER -