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Almost first-order stochastic dominance by distorted expectations
Published online by Cambridge University Press: 12 August 2022
Abstract
Almost stochastic dominance has been receiving a great amount of attention in the financial and economic literatures. In this paper, we characterize the properties of almost first-order stochastic dominance (AFSD) via distorted expectations and investigate the conditions under which AFSD is preserved under a distortion transform. The main results are also applied to establish stochastic comparisons of order statistics and receiver operating characteristic curves via AFSD.
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- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 37 , Issue 4 , October 2023 , pp. 888 - 906
- Copyright
- © The Author(s), 2022. Published by Cambridge University Press
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