https://scholars.lib.ntu.edu.tw/handle/123456789/414408
標題: | Higher-order Omega: A performance index with a decision-theoretic foundation | 作者: | Bi H. Huang R.J. Tzeng L.Y. Zhu W. |
關鍵字: | Acceptance dominance;Almost stochastic dominance;Optimal hedge ratio;Performance index;Riskiness index | 公開日期: | 2019 | 卷: | 100 | 起(迄)頁: | 43-57 | 來源出版物: | Journal of Banking and Finance | 摘要: | 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. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414408 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2018.12.013 |
顯示於: | 財務金融學系 |
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