Higher-order Omega: A performance index with a decision-theoretic foundation

Hongwei Bi, Rachel J. Huang, Larry Y. Tzeng, Wei Zhu

研究成果: 雜誌貢獻期刊論文同行評審

6 引文 斯高帕斯(Scopus)


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.

頁(從 - 到)43-57
期刊Journal of Banking and Finance
出版狀態已出版 - 3月 2019


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