Multivariate Stochastic Dominance and Moments
Mathematics of Operations Research, Vol. 16, No. 2, pp. 382-389
Posted: 11 Mar 2012
Date Written: March 11, 2012
Abstract
The sequence ≥nd of nth degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, ≥nd implies ≥nd−1 for the (d−1) - dimensional marginals. Also some necessary conditions for ≥nd are established. These conditions, which involve moments, are analogous to the ones proved by Fishburn (1980b) and O'Brien (1984) for univariate distributions.
Keywords: moments, moment inequalities, multivariate distribution functions, stochastic dominance
JEL Classification: D81
Suggested Citation: Suggested Citation
O'Brien, George and Scarsini, Marco, Multivariate Stochastic Dominance and Moments (March 11, 2012). Mathematics of Operations Research, Vol. 16, No. 2, pp. 382-389, Available at SSRN: https://ssrn.com/abstract=2019841
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