Orderings and risk probability functionals in portfolio theory

• Autorzy: Ortobelli S. , Rachev S. , Shalit H. , Fabozzi F. J.
• Języki publikacji: EN

Abstrakty

EN

This paper studies and describes stochastic orderings of risk/reward positions in order to define in a natural way risk/reward measures consistent/isotonic to investors’ preferences. We begin by discussing the connection between the theory of probability metrics, risk measures, distributional moments, and stochastic orderings. Then we examine several classes of orderings which are generated by risk probability functionals. Finally, we demonstrate how further orderings could better specify the investor’s attitude toward risk.

Słowa kluczowe

EN

probability metrics; stochastic dominance; FORS orderings; Mellin transform; coherent measures; convex measures

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2008
• Tom: Vol. 28, Fasc. 2
• Strony: 203--234
• Opis fizyczny: Bibliogr. 39 poz.

Twórcy

autor

Ortobelli S.

• Department MSIA, University of Bergamo, Via dei Caniana, 2, 24127 Bergamo, Italy

autor

Rachev S.

• School of Economics and Business Engineering, University of Karlsruhe, Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany
• Department of Statistics and Applied Probability, University of California, Santa Barbara, USA
• FinAnalytica Inc.

autor

Shalit H.

• Department of Economics, Ben-Gurion University of the Negev, Beer-Sheva 84105, Israel

autor

Fabozzi F. J.

• School of Management, Yale University, USA, P.O. Box 208200, New Haven, CT 06520-8200, USA

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