In this note we provide an operational interpretation of the economic index of riskiness of Aumann and Serrano (2008) and discuss its existence in the case of non-finite gambles.

We propose a performance measure that generalizes the Sharpe ratio. The new performance measure is monotone with respect to stochastic dominance and consistently accounts for mean, variance and higher moments of the return distribution. It is equivalent to the Sharpe ratio if returns are...