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Stochastic dominance efficient sets and stochastic spanning

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  • Stelios Arvanitis

    (Athens University of Economics and Business)

Abstract

We derive sufficient conditions for non-emptiness of the efficient sets for stochastic dominance relations, usually employed in economics and finance. We do so via the concept of stochastic spanning and its characterization by a saddle-type property. Under the appropriate framework, sufficiency takes the form of semicontinuity of a related functional. In some cases, this boils down to weak continuity of the parameterization of the underlying set of probability distributions.

Suggested Citation

  • Stelios Arvanitis, 2021. "Stochastic dominance efficient sets and stochastic spanning," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 401-409, June.
    • Handle: RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-021-00325-y
    DOI: 10.1007/s10203-021-00325-y
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stochastic dominance relation; Functional inequalities; Efficient set; Stochastic spanning; Saddle-type property; Lower semicontinuity;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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