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Both stochastic dominance and Omega ratio can be used to examine whether market is efficient, whether there is any arbitrage opportunity in the market, and whether there is any anomaly in the market. In this paper, we first study relationship between stochastic dominance and Omega ratio. We find...
Persistent link: https://www.econbiz.de/10012946301
Persistent link: https://www.econbiz.de/10011492563
Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega...
Persistent link: https://www.econbiz.de/10011772356
Persistent link: https://www.econbiz.de/10015386728
We first show that second-order stochastic dominance (SSD) and/or second-order risk-seeking stochastic dominance (SRSD) alone for any two prospects is not sufficient to imply the Omega ratio of one asset is always greater than that of the other one. We then extend the theory of risk measures by...
Persistent link: https://www.econbiz.de/10012984821