An Axiomatic Approach to Measuring Degree of Stochastic Dominance

Takashi Kamihigashi and John Stachurski
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John Stachurski: Research School of Economics, Australian National University, Australia

No DP2014-36, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: In recent years, a range of measures of "partial" or "degree of" stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by another. In order to systematically assess these proposed measures and their relationship to partial stochastic dominance, we adopt an axiomatic approach. We propose axioms for measuring degree of stochastic dominance and study the relationship between them. Among other findings, we show that one and only one measure satisfies all the axioms.

Keywords: Stochastic dominance; Stochastic order (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2014-11
New Economics Papers: this item is included in nep-mic
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