Multidimensional stochastic dominance for discrete uniform distribution

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10384629" target="_blank" >RIV/00216208:11320/16:10384629 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Multidimensional stochastic dominance for discrete uniform distribution

Popis výsledku v původním jazyce

Stochastic dominance is a form of stochastic ordering, which stems from decision theory when one gamble can be ranked as superior to another one for a broad class of decision makers whose utility functions, representing preferences, have very general form. There exists extensive theory concerning one dimensional stochastic dominance of different orders. However it is not obvious how to extend the concept to multiple dimension which is especially crucial when utilizing multidimensional non separable utility functions. One possible approach is to transform multidimensional random vector to one dimensional random variable and put equivalent stochastic dominance in multiple dimension to stochastic dominance of transformed vectors in one dimension. We suggest more general framework which does not require reduction of dimensions of random vectors. We introduce two types of stochastic dominance and seek for their generators in terms of von Neumann -Morgenstern utility functions. Moreover, we develop necessary and sufficient conditions for stochastic dominance between two discrete random vectors with uniform distribution.

Název v anglickém jazyce

Multidimensional stochastic dominance for discrete uniform distribution

Popis výsledku anglicky

Stochastic dominance is a form of stochastic ordering, which stems from decision theory when one gamble can be ranked as superior to another one for a broad class of decision makers whose utility functions, representing preferences, have very general form. There exists extensive theory concerning one dimensional stochastic dominance of different orders. However it is not obvious how to extend the concept to multiple dimension which is especially crucial when utilizing multidimensional non separable utility functions. One possible approach is to transform multidimensional random vector to one dimensional random variable and put equivalent stochastic dominance in multiple dimension to stochastic dominance of transformed vectors in one dimension. We suggest more general framework which does not require reduction of dimensions of random vectors. We introduce two types of stochastic dominance and seek for their generators in terms of von Neumann -Morgenstern utility functions. Moreover, we develop necessary and sufficient conditions for stochastic dominance between two discrete random vectors with uniform distribution.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

6

Strana od-do

675-680

Název nakladatele

TECHNICAL UNIVERSITY LIBEREC

Místo vydání

LIBEREC

Místo konání akce

Liberec

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000385239500116