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Partial stochastic dominance via optimal transport

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Date

2020

Authors

Kamihigashi, Takashi
Stachurski, John

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

In recent years, a range of measures of “partial” stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by another. We assess these measures from intuitive, axiomatic, computational and statistical perspectives. Our investigation leads us to recommend a measure related to optimal transport as a natural default.

Description

Keywords

Stochastic dominance, Optimal transport, Coupling

Citation

URI

https://hdl.handle.net/1885/733720878

Collections

ANU Research Publications

Source

Operations Research Letters

Type

Journal article

Book Title

Entity type

Access Statement

Open Access

License Rights

DOI

10.1016/j.orl.2020.07.003

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Partial stochastic.pdf (253.53 KB)

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