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Thread: stochastic dominance

  1. July 3rd 2012, 04:38 AM #1
    sander
    sander is offline
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    stochastic dominance

    The random variable X is stochastically dominated by Y. Therefore, for k = 1,2,...
    E[X^k] < E[Y^k]
    Show
    \left|\frac{E[X^{k+1}]/E[X^k] }{ E[Y^{k+1}]/E[Y^k] } \right| < 1
    If needed, one can impose positivity of Y, continuity of X and Y, and/or finiteness of moments of X and Y.

    Thanks in advance
    Last edited by sander; July 3rd 2012 at 04:43 AM.
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