A COMPARISON OF CRITERIA FOR EVALUATING RISK MANAGEMENT STRATEGIES

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