Technical Note—Ranking Distributions When Only Means and Variances Are Known

Alfred Müller,Marco Scarsini,Ilia Tsetlin,Robert L. Winkler

Technical Note—Ranking Distributions When Only Means and Variances Are Known

2021

Alfred Müller
Marco Scarsini
Ilia Tsetlin
Robert L. Winkler

In “Technical Note—Ranking Distributions When Only Means and Variances Are Known,” Muller, Scarsini, Tsetlin, and Winkler address the question of ranking distributions when only the first two momen...

Keywords:

Sharpe ratio
technical note
Ranking
Marginal utility
Mathematics
Omega ratio
Statistics

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