Almost first-order stochastic dominance by distorted expectations

被引：1
|
作者：
Yang, Jianping [1 ]
Zhou, Tian [1 ]
Zhuang, Weiwei [2 ]
机构：
[1] Zhejiang Sci Tech Univ, Sch Sci, Dept Math Sci, Hangzhou 310018, Zhejiang, Peoples R China
[2] Univ Sci & Technol China, Sch Management, Int Inst Finance, Hefei 230026, Anhui, Peoples R China
来源：
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2023年 / 37卷 / 04期
关键词：
Almost first-order stochastic dominance; Decision analysis; Distortion function; Order statistics; ROC curve; DUAL THEORY; RISKS;
D O I：
10.1017/S0269964822000250
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
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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页码：888 / 906
页数：19
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