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Convexification of Stochastic Ordering

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Author Info

  • Darinka Dentcheva

    (Stevens Institute of Technology)

  • Andrzej Ruszczynski

    (Rutgers University)

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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File URL: http://128.118.178.162/eps/ge/papers/0402/0402005.pdf
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Bibliographic Info

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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Web page: http://128.118.178.162

Related research

Keywords: Stochastic Dominance; Stochastic Ordering;

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References

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  1. 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.
  2. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
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Cited by:
  1. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, EconWPA, revised 07 Aug 2005.
  2. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006.
  3. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA.

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