Stochastic Dominance under Independent Noise
Bibliographic Data
| ID | 10175990 |
|---|---|
| Authors | Luciano Pomatto (0000-0002-4331-8436, California Institute of Technology), Philipp Strack (0000-0002-7960-9243, Yale University), Omer Tamuz (0000-0002-0111-0418, California Institute of Technology) |
| Year | 2019 |
| Volume | 128 |
| Issue | 5 |
| Pages | 1877-1900 |
| Publication date | 2019-07-23 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/705555 |
| OpenAlex | W2962769750 |
| Language | EN |
| Citations received | 4 |
| References cited | 23 |
Stochastic dominance is a crucial tool for the analysis of choice under risk. It is typically analyzed as a property of two gambles that are taken in isolation. We study how additional independent sources of risk (e.g., uninsurable labor risk, house price risk) can affect the ordering of gambles. We show that, perhaps surprisingly, background risk can be strong enough to render lotteries that are ranked by their expectation ranked in terms of first-order stochastic dominance. We extend our results to second-order stochastic dominance and show how they lead to a novel and elementary axiomatization of mean-variance preferences
Biology · Dominance (genetics · Econometrics · Economics · Mathematical economics · Statistics · Stochastic dominance · Stochastic ordering · Variance (accounting · Decision-Making and Behavioral Economics · Economic and Environmental Valuation · Experimental Behavioral Economics Studies · Mathematics
| Unique citing works | 4 |
|---|---|
| Citations per year | 1 |
| Citation span | 2022 - 2026 (5) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 4 |