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An Axiomatic Approach to Measuring Degree of Stochastic Dominance

Listed author(s):
  • Takashi Kamihigashi

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • John Stachurski

    (Research School of Economics, Australian National University, Australia)

In recent years, a range of measures of "partial" or "degree of" stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by another. In order to systematically assess these proposed measures and their relationship to partial stochastic dominance, we adopt an axiomatic approach. We propose axioms for measuring degree of stochastic dominance and study the relationship between them. Among other findings, we show that one and only one measure satisfies all the axioms.

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File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2014-36.pdf
File Function: First version, 2014
Download Restriction: no

Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number DP2014-36.

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Length: 15 pages
Date of creation: Nov 2014
Handle: RePEc:kob:dpaper:dp2014-36
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  1. Daron Acemoglu & Martin Kaae Jensen, 2015. "Robust Comparative Statics in Large Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 123(3), pages 587-640.
  2. Larry Y. Tzeng & Rachel J. Huang & Pai-Ta Shih, 2013. "Revisiting Almost Second-Degree Stochastic Dominance," Management Science, INFORMS, vol. 59(5), pages 1250-1254, May.
  3. Mas-Colell, Andreu & Whinston, Michael D. & Green, Jerry R., 1995. "Microeconomic Theory," OUP Catalogue, Oxford University Press, number 9780195102680.
  4. Levy, Moshe, 2009. "Almost Stochastic Dominance and stocks for the long run," European Journal of Operational Research, Elsevier, vol. 194(1), pages 250-257, April.
  5. Michel Denuit & Rachel Huang & Larry Tzeng, 2014. "Bivariate almost stochastic dominance," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 377-405, October.
  6. repec:wsi:ijtafx:v:15:y:2012:i:02:n:s0219024912500173 is not listed on IDEAS
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