|Title:||Higher-order Omega: A performance index with a decision-theoretic foundation||Authors:||Bi H.
|Keywords:||Acceptance dominance;Almost stochastic dominance;Optimal hedge ratio;Performance index;Riskiness index||Issue Date:||2019||Journal Volume:||100||Start page/Pages:||43-57||Source:||Journal of Banking and Finance||Abstract:||
This paper proposes a new performance index referred to as the Nth-order Omega that includes the well-known Omega as a special case. The index is established by adopting an approach that is free of a utility functional form or/and distributional assumptions. A decision-theoretic foundation for our index is further established through introducing a new distribution ranking criterion. The index is monotonic with respect to Nth-degree stochastic dominance and offers a complete ordering on gambles. An empirical example of deriving the optimal hedge ratio is demonstrated to show the applicability of the index. ? 2019 Elsevier B.V.
|Appears in Collections:||財務金融學系|
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