Technical Note—Ranking Distributions When Only Means and Variances Are Known

DOI10.1287/opre.2020.2072OpenAlexW3134857688MaRDI QIDQ5058048

Marco Scarsini, Ilia Tsetlin, Alfred Müller, Robert L. Winkler

Publication date: 1 December 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2020.2072

zbMATH Keywords

Sharpe ratioOmega ratiomarginal utilitymean and variancechoice between lotteriesfirst-order almost-stochastic dominance

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

Cites Work

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• Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance
• Representation Theorems for Distribution Functions
• Generalized Almost Stochastic Dominance

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