In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio, Sortino–Satchell ratio, Farinelli–Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio, Rachev ratio, generalized Rachev ratio), and other...

The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is the location and scale (LS) property (see [Sinn, 1983] and [Meyer, 1987]). The normal, the extreme value, and many other distributions commonly used in finance satisfy this property. We argue that...

This paper introduces a new normal form rationalizability concept, which in reduced normal form games corresponding to generic finite extensive games of perfect information yields the unique backward induction outcome. The basic assumption is that every player trembles "more or less rationally"...

This paper examines strategic trade policy with unilateral intervention under asymmetric information about market demand. In an international Cournot-duopoly, the choice of the domestic country's export subsidy signals the domestic country's private information to the foreign firm. It is shown...

This contribution analyzes an optimization potential in the private real estate financing, which is not covered in both the scientific and practical literature, but which is well known to practically orientated scientists. First, it is shown that for a rising yield curve a bundle of annuity...

Three approaches are commonly used for analyzing decisions under uncertainty: expected utility (EU), second-degree stochastic dominance (SSD), and mean-risk (MR) models, with the mean–standard deviation (MS) being the best-known MR model. Because MR models generally lead to different efficient...