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Partial Stochastic Dominance [PDF]
, 2014 The stochastic dominance ordering over probability distributions is one of the most familiar concepts in economic and financial analysis. One difficulty with stochastic dominance is that many distributions are not ranked at all, even when arbitrarily close to other distributions that are.
Takashi Kamihigashi, John Stachurski
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Stochastic Dominance on Unidimensional Grids
Mathematics of Operations Research, 1995Special stochastic-dominance relations for probability distributions on a finite grid of evenly-spaced points are considered. The relations depend solely on iterated partial sums of grid-point probabilities and are very computer efficient. Their corresponding classes of utility functions for expected-utility comparisons consist of functions defined on
Fishburn, Peter C., LaValle, Irving H.
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Stochastic Dominance of Pension Plans
Metroeconomica, 2003We compare different possibilities to reform a funded pension plan, whose balance is threatened by a decrease in mortality rates. Since the plan is mandatory, the welfare of employees might be reduced if contributions increase or if the retirement age is raised. An empirical study of Israeli data shows that a reform which decreases the pension benefits
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Stochastic Dominance in Human Capital
Journal of Political Economy, 1980The paper considers the choice between two finite income paths that are subject to random variations. It is shown that if one income path, X, has more cumulative variation at the outset and less variation toward the end than another income path, Y, then X dominates Y in the sense that (almost) every decision maker prefers X to Y.
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, 1990 We develop in this paper a systematic study of the stochastic dominance ordering in spaces of measures. We collect and present in an orderly fashion, results that are spread out in the Applied Probability and Mathematical Economics literature, and extend most of them to a somewhat broader framework.
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Multivariate Stochastic Dominance and Moments
Mathematics of Operations Research, 1991The sequence ≥nd of nth degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, ≥nd implies ≥nd−1 for the (d − 1)-dimensional marginals. Also some necessary conditions for ≥nd are established.
G. L. O'Brien, SCARSINI, MARCO
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Stochastic Dominance: Introduction
2019Stochastic dominance is a concept about choice under risk that was originally derived from the economics literature for the ordering of uncertain prospects by a particular set of investors. This chapter reviews the early definitions and applications, which started in 1962 with a contribution in the economics literature by Quirk and Saposnik and ...
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Stochastic Dominance Without Transitive Preferences
Management Science, 1978Traditional definitions of stochastic dominance assume that the decision agent's preference-or-indifference relation on outcomes of risky decisions is transitive. This paper proposes a stochastic dominance relation for the comparison of risky decisions that is applicable to any complete and reflexive preference-or-indifference relation, or to any ...
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Stochastic Dominance and Moment Inequalities
Mathematics of Operations Research, 1984For any distribution function (df) F, define F1 = F and Fn+1 (x) = ∫−∞x Fn(y) dy. For two df's F and G, we obtain a relationship between the behaviour of Gn(x) − Fn(x) for large x and certain inequalities involving the moments of F and G. In particular, we generalize Fishburn's theorem, which deduces such inequalities from the condition that Gn(x ...
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