Academic Journal
Further properties of fractional stochastic dominance
| Title: | Further properties of fractional stochastic dominance |
|---|---|
| Authors: | Mao, Tiantian, Wu, Qinyu, Hu, Taizhong |
| Superior Title: | Journal of Applied Probability ; volume 59, issue 1, page 202-223 ; ISSN 0021-9002 1475-6072 |
| Publisher Information: | Cambridge University Press (CUP) |
| Publication Year: | 2022 |
| Subject Terms: | Statistics, Probability and Uncertainty, General Mathematics, Statistics and Probability |
| Description: | A continuum of stochastic dominance rules, also referred to as fractional stochastic dominance (SD), was introduced by Müller, Scarsini, Tsetlin, and Winkler (2017) to cover preferences from first- to second-order SD. Fractional SD can be used to explain many individual behaviors in economics. In this paper we introduce the concept of fractional pure SD, a special case of fractional SD. We investigate further properties of fractional SD, for example the generating processes of fractional pure SD via $\gamma$ -transfers of probability, Yaari’s dual characterization by utilizing the special class of distortion functions, the separation theorem in terms of first-order SD and fractional pure SD, Strassen’s representation, and bivariate characterization. We also establish several closure properties of fractional SD under quantile truncation, under comonotonic sums, and under distortion, as well as its equivalence characterization. Examples of distributions ordered in the sense of fractional SD are provided. |
| Document Type: | article in journal/newspaper |
| Language: | English |
| DOI: | 10.1017/jpr.2021.44 |
| Availability: | https://doi.org/10.1017/jpr.2021.44 https://www.cambridge.org/core/services/aop-cambridge-core/content/view/S0021900221000449 |
| Rights: | https://creativecommons.org/licenses/by/4.0/ |
| Accession Number: | edsbas.59CFAA1E |
| Database: | BASE |
| Description not available. |