Convexification of Stochastic Ordering

Darinka Dentcheva (ddentchestevens.edu)
Andrzej Ruszczynski (ruszrutcor.rutgers.edu)

Abstract: We consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed convex hull of the first set is equal to the second set.

Keywords: Stochastic Dominance, Convexity

Category 1: Stochastic Programming

Category 2: Convex and Nonsmooth Optimization

Category 3: Applications -- OR and Management Sciences (Finance and Economics )

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Entry Submitted: 02/14/2004
Entry Accepted: 02/17/2004
Entry Last Modified: 08/05/2005

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