A Comparison Of Criteria For Evaluating Risk Management Strategies-评估风险管理策略...

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英文文献：A Comparison Of Criteria For Evaluating Risk Management Strategies-评估风险管理策略的标准的比较
英文文献作者：Baker, Timothy G.,Gloy, Brent A.
英文文献摘要：
Several criteria that produce rankings of risk management alternatives are evaluated. The criteria considered are Value at Risk, the Sharpe ratio, the necessary condition for first degree stochastic dominance with a risk free asset, and the necessary condition for second degree stochastic dominance with a risk free asset. The effectiveness of the criteria increases as decision-makers are assumed to be more risk averse and have greater access to financial leverage.

对产生风险管理备选方案排名的几个标准进行了评估。考虑的准则为风险值、夏普比率、无风险资产的一阶随机优势的必要条件和无风险资产的二阶随机优势的必要条件。当决策者被假定为更倾向于规避风险，并有更多的机会获得财务杠杆时，标准的有效性就会提高。

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