Convexification of Stochastic Ordering

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Convexification of Stochastic Ordering

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Darinka Dentcheva (Stevens Institute of Technology)
Andrzej Ruszczynski (Rutgers University)

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Abstract

We consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed convex hull of the first set is equal to the second set.

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Paper provided by EconWPA in its series GE, Growth, Math methods with number 0402005.

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Date of creation: 19 Feb 2004
Date of revision: 05 Aug 2005
Handle: RePEc:wpa:wuwpge:0402005

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Find related papers by JEL classification:
C6 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming
D5 - Microeconomics - - General Equilibrium and Disequilibrium
D9 - Microeconomics - - Intertemporal Choice and Growth

This paper has been announced in the following NEP Reports:

NEP-ALL-2004-02-23 (All new papers)
NEP-MIC-2004-02-23 (Microeconomics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Ronald E. Gangnon & William N. King, 2002. "Minimum distance estimation of the distribution functions of stochastically ordered random variables," Journal Of The Royal Statistical Society Series C, Royal Statistical Society, vol. 51(4), pages 485-492. [Downloadable!] (restricted)
Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March. [Downloadable!] (restricted)

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, EconWPA, revised 07 Aug 2005. [Downloadable!]
Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA. [Downloadable!]

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This page was last updated on 2008-9-25.

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