【主题】 Strong Stochastic Dominance
【报告人】王韬（助教授，南京审计大学）
【时间】10月22日（星期二） 15：30-17：00
【地点】经济学院楼401室
【语言】英文
【摘要】We generalize the monotone likelihood ratio property of univariate random variables. We say that one distribution strongly stochastically dominates another if the former is a convex transformation of the latter. The main contribution of this paper is the introduction of an equivalent condition phrased in terms of expectations. Several economic applications of this equivalence condition are given. These applications include monotone comparative statics under uncertainty, Bayesian learning and dynamics, pricing of risky assets, implications to a portfolio's value-at-risk and to production expansions.
【报告人】王韬（助教授，南京审计大学）
【时间】10月22日（星期二） 15：30-17：00
【地点】经济学院楼401室
【语言】英文
【摘要】We generalize the monotone likelihood ratio property of univariate random variables. We say that one distribution strongly stochastically dominates another if the former is a convex transformation of the latter. The main contribution of this paper is the introduction of an equivalent condition phrased in terms of expectations. Several economic applications of this equivalence condition are given. These applications include monotone comparative statics under uncertainty, Bayesian learning and dynamics, pricing of risky assets, implications to a portfolio's value-at-risk and to production expansions.
