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.
原文 | ???core.languages.en_GB??? |
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頁(從 - 到) | 43-57 |
頁數 | 15 |
期刊 | Journal of Banking and Finance |
卷 | 100 |
DOIs | |
出版狀態 | 已出版 - 3月 2019 |