A GENERAL CLASS OF THREE-PARAMETER RISK MEASURES: COMMENT

related some of the common risk measures used in investment analysis. The measures of variance, semi-variance, mean absolute deviation, and probability of an outcome worse than some specified level were all shown to be specific cases of his general three-parameter risk measure. It is the purpose of this note to show that the functions used in the other major theoretical risk analysis method, stochastic dominance, can be derived as another special case of Stone's three-parameter risk measure. His measure was defined as