Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/173743
Authors: 
Hellman, Ziv
Schreiber, Amnon
Year of Publication: 
2016
Series/Report no.: 
Working Papers, Bar-Ilan University, Department of Economics 2016-06
Abstract: 
We axiomatically characterise two new orders of desirability of gambles (risky assets) that are natural extensions of the proportional stochastic dominance order to complete orders. These orders are represented by indices with parallels to the recently introduced Aumann-Serrano index of riskiness and the Foster-Hart measure of riskiness. The new indices are shown to be related to the concept of coherent measures of risk and to the Sharpe ratio.
Document Type: 
Working Paper

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