Orderings and Risk Probability Functionals in Portfolio Theory

Sergio Ortobelli, Teodosii Rachev, Haim Shalit, Frank Fabozzi

Research output: Contribution to journalArticlepeer-review


This paper studies and describes stochastic orderings of risk/reward positions in order to define in a natural way risk/reward measures consistent/isotonic to investors’ preferences. We begin by discussing the connection between the theory of probability metrics, risk measures, distributional moments, and stochastic orderings. Then we examine several classes of orderings which are generated by risk probability functionals. Finally, we demonstrate how further orderings could better specify the investor’s attitude toward risk.
Original languageEnglish
Pages (from-to)203-234
JournalProbability and Mathematical Statistics
Issue number2
StatePublished - 1 Jan 2008


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