The mass transfer approach to multivariate discrete first order stochastic dominance: direct proof and implications
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The mass transfer approach to multivariate discrete first order stochastic dominance : direct proof and implications. / Østerdal, Lars Peter Raahave.
In: Journal of Mathematical Economics, Vol. 46, No. 6, 11.2010, p. 1222-1228.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - The mass transfer approach to multivariate discrete first order stochastic dominance
T2 - direct proof and implications
AU - Østerdal, Lars Peter Raahave
N1 - JEL classification: D63, I32, O15
PY - 2010/11
Y1 - 2010/11
N2 - A fundamental result in the theory of stochastic dominance tells that first order dominance between two finite multivariate distributions is equivalent to the property that the one can be obtained from the other by shifting probability mass from one outcome to another that is worse a finite number of times. This paper provides a new and elementary proof of that result by showing that starting with an arbitrary system of mass transfers, whenever the resulting distribution is first order dominated one can gradually rearrange transfers, according to a certain decentralized procedure, and obtain a system of transfers all shifting mass to outcomes that are worse.
AB - A fundamental result in the theory of stochastic dominance tells that first order dominance between two finite multivariate distributions is equivalent to the property that the one can be obtained from the other by shifting probability mass from one outcome to another that is worse a finite number of times. This paper provides a new and elementary proof of that result by showing that starting with an arbitrary system of mass transfers, whenever the resulting distribution is first order dominated one can gradually rearrange transfers, according to a certain decentralized procedure, and obtain a system of transfers all shifting mass to outcomes that are worse.
KW - Faculty of Social Sciences
KW - multidimensional first degree distributional dominance
KW - usual stochastic order
KW - multivariate majorization
KW - generalized equivalence result
U2 - 10.1016/j.jmateco.2010.08.018
DO - 10.1016/j.jmateco.2010.08.018
M3 - Journal article
VL - 46
SP - 1222
EP - 1228
JO - Journal of Mathematical Economics
JF - Journal of Mathematical Economics
SN - 0304-4068
IS - 6
ER -
ID: 21593262