An Axiomatic Approach to Measuring Degree of Stochastic Dominance

Takashi Kamihigashi · John Stachurski

1 citations0/0 files storedRePEc: Research Papers in Economics

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Decision-Making and Behavioral Economics Probability and Statistical Research Risk and Portfolio Optimization

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.

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1987On the Measurement of Poverty 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality 1992Stochastic Dominance and Expected Utility: Survey and Analysis 2002Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance 2012Revisiting Almost Second-Degree Stochastic Dominance 2007Almost Stochastic Dominance and stocks for the long run 1992Revealed preference, stochastic dominance, and the expected utility hypothesis

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