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

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

Operations Research（2021）

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摘要

In “Technical Note—Ranking Distributions When Only Means and Variances Are Known,” Muller, Scarsini, Tsetlin, and Winkler address the question of ranking distributions when only the first two momen...

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关键词

choice between lotteries, mean and variance, first-order almost-stochastic dominance, marginal utility, Sharpe ratio, Omega ratio

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