Ranking Distributions when only Means and Variances are Known

Consider a choice between two random variables, for which only means and variances are known. Is it possible to rank them by putting some constraints on risk preferences? We provide such a ranking by bounding how much marginal utility can change. Such bounds enable us to rank all distributions with given means and variances by first-order almost stochastic dominance. We show how our results can be used to compare a risky project and a sure payoff and also provide a new connection between the Sharpe and Omega ratios from finance

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Year of publication:	2020
Authors:	Müller, Alfred
Other Persons:	Scarsini, Marco (contributor) ; Tsetlin, Ilia (contributor) ; Winkler, Robert L. (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Ranking-Verfahren \| Ranking method

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