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Convexification of Stochastic Ordering

  • Darinka Dentcheva

    (Stevens Institute of Technology)

  • Andrzej Ruszczynski

    (Rutgers University)

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://econwpa.repec.org/eps/ge/papers/0402/0402005.pdf
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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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  1. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
  2. 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.
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