Convexification of Stochastic Ordering
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.
|Date of creation:||19 Feb 2004|
|Date of revision:||05 Aug 2005|
|Note:||Type of Document - pdf; prepared on WinXP; to print on any;|
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- 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.
- 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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