Publications [#369102] of Robert L. Winkler
Papers Published
- Müller, A; Scarsini, M; Tsetlin, I; Winkler, RL. "Technical Note—Ranking Distributions When Only Means and Variances Are Known." Operations Research 70.5 (September, 2022): 2851-2859. [doi]
(last updated on 2026/01/16)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.