Distorted stochastic dominance: A generalized family of stochastic orders

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10246112" target="_blank" >RIV/61989100:27510/20:10246112 - isvavai.cz</a>

Result on the web

<a href="https://www.sciencedirect.com/science/article/pii/S0304406820300811?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0304406820300811?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jmateco.2020.07.005" target="_blank" >10.1016/j.jmateco.2020.07.005</a>

Result language

angličtina

Original language name

Distorted stochastic dominance: A generalized family of stochastic orders

Original language description

We study a generalized family of stochastic orders, semiparametrized by a distortion function H, namely H-distorted stochastic dominance, which may determine a continuum of dominance relations from the firstto the second-order stochastic dominance (and beyond). Such a family is especially suitable for representing a decision maker&apos;s preferences in terms of risk aversion and may be used in those situations in which a strong order does not have enough discriminative power, whilst a weaker one is poorly representative of some classes of decision makers. In particular, we focus on the class of power distortion functions, yielding power-distorted stochastic dominance, which seems to be particularly appealing owing to its computational simplicity and some interesting statistical interpretations. Finally, we characterize distorted stochastic dominance in terms of distortion functions yielding isotonic classes of distorted expectations. (c) 2020 Elsevier B.V. All rights reserved.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50200 - Economics and Business

Project

<a href="/en/project/GA20-16764S" target="_blank" >GA20-16764S: A generalized approach to stochastic dominance: theory and financial applications</a><br>

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Mathematical Economics

ISSN

0304-4068

e-ISSN

—

Volume of the periodical

90

Issue of the periodical within the volume

october

Country of publishing house

CH - SWITZERLAND

Number of pages

8

Pages from-to

132-139

UT code for WoS article

000571474500016

EID of the result in the Scopus database

2-s2.0-85089145144