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Non-Emptyness of Stochastic Dominance Effiicient Sets via Stochastic Spanning

Author

Listed:
  • Stelios Arvanitis

    (Athens University of Economics and Business)

Abstract

We derive sufficient conditions for the non-emptyness of the efficient set for a class of Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions of the real line. We do so via the use of the concept of sto- chastic spanning and its characterization via a saddle type property. Under the appro- priate framework sufficiency takes theform of semi-connuity of some related functional. In some cases this boils down to mild uniform moment existence conditions.

Suggested Citation

  • Stelios Arvanitis, 2017. "Non-Emptyness of Stochastic Dominance Effiicient Sets via Stochastic Spanning," Working Papers 201710, Athens University Of Economics and Business, Department of Economics.
    • Handle: RePEc:aeb:wpaper:201710:y:2017
    as

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    References listed on IDEAS

    as
    1. Hall, Peter & Yao, Qiwei, 2003. "Inference in ARCH and GARCH models with heavy-tailed errors," LSE Research Online Documents on Economics 5875, London School of Economics and Political Science, LSE Library.
    2. Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
    3. Peter Hall & Qiwei Yao, 2003. "Inference in Arch and Garch Models with Heavy--Tailed Errors," Econometrica, Econometric Society, vol. 71(1), pages 285-317, January.
    4. Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
    5. Christian Francq & Jean‐Michel Zakoïan, 2012. "Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models," Econometrica, Econometric Society, vol. 80(2), pages 821-861, March.
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    More about this item

    Keywords

    Stochastic Dominance Relation; Financial Portfolio; Income Distribution; Functional Inequalities; Efficient set; Stochastic Spanning; Saddle-type Property; Zorn’s Lemma; Finite Intersection Property; Semi-Connuity.;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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