Expectiles omega ratios and stochastic dominance

Expectiles omega ratios and stochastic dominance


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Speaker: Alfred Müller

In the theory of risk measures expectiles have recently found increasing interest as they are the only risk measures that are coherent and elicitable. Comparing expectiles is mathematically equivalent to comparing Omega ratios, which are a well known performance measure. In this talk we explain these two concepts and investigate their relation and consistency with respect to stochastic dominance rules. In particular we introduce a new stochastic order based on expectiles that turns out to have some unexpected properties. We also give conditions under which expectiles and Omega ratios are consistent with classical first and second order stochastic dominance and with respect to the recently introduced fractional stochastic dominance between first and second order. The talk is based on joint work with several coauthors.

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