Stochastic dominance efficient sets and stochastic spanning

Stelios Arvanitis ()
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Stelios Arvanitis: Athens University of Economics and Business

Decisions in Economics and Finance, 2021, vol. 44, issue 1, No 21, 409 pages

Abstract: Abstract We derive sufficient conditions for non-emptiness of the efficient sets for stochastic dominance relations, usually employed in economics and finance. We do so via the concept of stochastic spanning and its characterization by a saddle-type property. Under the appropriate framework, sufficiency takes the form of semicontinuity of a related functional. In some cases, this boils down to weak continuity of the parameterization of the underlying set of probability distributions.

Keywords: Stochastic dominance relation; Functional inequalities; Efficient set; Stochastic spanning; Saddle-type property; Lower semicontinuity (search for similar items in EconPapers)
JEL-codes: C02 C44 D81 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10203-021-00325-y

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