Distorted stochastic dominance: A generalized family of stochastic orders

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Distorted stochastic dominance: A generalized family of stochastic orders

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Distorted stochastic dominance: A generalized family of stochastic orders

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA20-16764S" target="_blank" >GA20-16764S: Zobecněný přístup ke stochastické dominanci: teorie a finanční aplikace</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Journal of Mathematical Economics

ISSN

0304-4068

e-ISSN

—

Svazek periodika

90

Číslo periodika v rámci svazku

october

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

8

Strana od-do

132-139

Kód UT WoS článku

000571474500016

EID výsledku v databázi Scopus

2-s2.0-85089145144