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Decisions in Economics and Finance

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11-03-2021

Stochastic dominance efficient sets and stochastic spanning

Author: Stelios Arvanitis

Published in: Decisions in Economics and Finance | Issue 1/2021

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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.

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Title: Stochastic dominance efficient sets and stochastic spanning
Author: Stelios Arvanitis
Publication date: 11-03-2021
Publisher: Springer International Publishing
Published in: Decisions in Economics and Finance / Issue 1/2021
Print ISSN: 1593-8883
Electronic ISSN: 1129-6569
DOI: https://doi.org/10.1007/s10203-021-00325-y

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