The Unsuspected Capacity of Melanin to Transform Light Energy into Chemical Energy and the Surprising Anoxia Tolerance of Chrysemys Picta

Abstract

As we leave behind the assumption of normality in return distributions, the classical risk-reward Sharpe Ratio becomes a questionable tool for ranking risky projects. In the spirit of Sharpe thinking, a more general risk-reward ratio © suit-able to compare skewed return distributions with respect to a benchmark, is in-troduced. This index captures two types of asymmetry information: (1) " good " volatility (above the benchmark) and " bad " volatility (below the benchmark) are di¤erently weighted, (2) asymmetrical preferences to " small " and " large " deviations from the benchmark are modelled. The former goal is achieved by using one-sided volatility measures, and the latter by choosing appropriate order for the one-sided moments involved. The Omega Index (see Cascon et al. (2002) and the Upside Potential Ratio (see Sortino (2000) follow as special cases of the index ©. More-over, compatibility of the ranking rule based on ratio © with the expected utility framework is proved. JEL Subject Classification: G0,G1,G2.