Technical Note—Ranking Distributions When Only Means and Variances Are Known
Publication
, Journal Article
Müller, A; Scarsini, M; Tsetlin, I; Winkler, RL
Published in: Operations Research
September 1, 2022
Consider a choice between two random variables, for which only means and variances are known. Is it possible to rank them by putting some constraints on risk preferences? We provide such a ranking by bounding how much marginal utility can change. Such bounds enable us to rank all distributions with given means and variances by first-order almost-stochastic dominance. We show how our results can be used to compare a risky project and a sure payoff and also provide a new connection between the Sharpe and Omega ratios from finance.
Duke Scholars
Published In
Operations Research
DOI
EISSN
1526-5463
ISSN
0030-364X
Publication Date
September 1, 2022
Volume
70
Issue
5
Start / End Page
2851 / 2859
Related Subject Headings
- Operations Research
- 3507 Strategy, management and organisational behaviour
- 1503 Business and Management
- 0802 Computation Theory and Mathematics
- 0102 Applied Mathematics
Citation
APA
Chicago
ICMJE
MLA
NLM
Müller, A., Scarsini, M., Tsetlin, I., & Winkler, R. L. (2022). Technical Note—Ranking Distributions When Only Means and Variances Are Known. Operations Research, 70(5), 2851–2859. https://doi.org/10.1287/opre.2020.2072
Müller, A., M. Scarsini, I. Tsetlin, and R. L. Winkler. “Technical Note—Ranking Distributions When Only Means and Variances Are Known.” Operations Research 70, no. 5 (September 1, 2022): 2851–59. https://doi.org/10.1287/opre.2020.2072.
Müller A, Scarsini M, Tsetlin I, Winkler RL. Technical Note—Ranking Distributions When Only Means and Variances Are Known. Operations Research. 2022 Sep 1;70(5):2851–9.
Müller, A., et al. “Technical Note—Ranking Distributions When Only Means and Variances Are Known.” Operations Research, vol. 70, no. 5, Sept. 2022, pp. 2851–59. Scopus, doi:10.1287/opre.2020.2072.
Müller A, Scarsini M, Tsetlin I, Winkler RL. Technical Note—Ranking Distributions When Only Means and Variances Are Known. Operations Research. 2022 Sep 1;70(5):2851–2859.
Published In
Operations Research
DOI
EISSN
1526-5463
ISSN
0030-364X
Publication Date
September 1, 2022
Volume
70
Issue
5
Start / End Page
2851 / 2859
Related Subject Headings
- Operations Research
- 3507 Strategy, management and organisational behaviour
- 1503 Business and Management
- 0802 Computation Theory and Mathematics
- 0102 Applied Mathematics