Convexification of Stochastic Ordering

Darinka Dentcheva and Andrzej Ruszczynski ()

GE, Growth, Math methods from University Library of Munich, Germany

Abstract: We consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed convex hull of the first set is equal to the second set.

Keywords: Stochastic Dominance; Stochastic Ordering (search for similar items in EconPapers)
JEL-codes: C6 D5 D9 (search for similar items in EconPapers)
Date: 2004-02-19, Revised 2005-08-05
New Economics Papers: this item is included in nep-mic
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpge:0402005

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