Multivariate Stochastic Dominance and Moments

Mathematics of Operations Research, Vol. 16, No. 2, pp. 382-389

Posted: 11 Mar 2012

See all articles by George O'Brien

George O'Brien

affiliation not provided to SSRN

Marco Scarsini

Luiss University Dipartimento di Economia e Finanza

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

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

George O'Brien

affiliation not provided to SSRN

Marco Scarsini (Contact Author)

Luiss University Dipartimento di Economia e Finanza ( email )

Viale Romania 32
Rome, RM 00197
Italy

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