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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… Click to show full 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:
efficient sets;
finance;
stochastic dominance;
sets stochastic;
stochastic spanning
Journal Title: Decisions in Economics and Finance
Year Published: 2021
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Journal Title: Decisions in Economics and Finance
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!