Publications [#369102] of Robert L. Winkler

Papers Published

1. Müller, A; Scarsini, M; Tsetlin, I; Winkler, RL, Technical Note—Ranking Distributions When Only Means and Variances Are Known, Operations Research, vol. 70 no. 5 (September, 2022), pp. 2851-2859 [doi]
   (last updated on 2026/01/20)

   Abstract:
   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.