Moment inequalities for higher-order (inverse) stochastic dominance
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866908750897479680 |
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| author | Guan, Meng Zou, Zhenfeng Hu, Taizhong |
| author_facet | Guan, Meng Zou, Zhenfeng Hu, Taizhong |
| contents | Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for higher-order inverse stochastic dominance are developed. These conditions, which involve moment inequalities of the minimum order statistics, are analogous to the ones obtained by Fishburn (1980b) for usual higher-order stochastic dominance. Second, we investigate how background risk variables influence usual higher-order stochastic dominance. The main result generalizes the ones in Pomatto et al. (2020) from the first-order and second-order stochastic dominance to the higher-order. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_03541 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Moment inequalities for higher-order (inverse) stochastic dominance Guan, Meng Zou, Zhenfeng Hu, Taizhong Probability Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for higher-order inverse stochastic dominance are developed. These conditions, which involve moment inequalities of the minimum order statistics, are analogous to the ones obtained by Fishburn (1980b) for usual higher-order stochastic dominance. Second, we investigate how background risk variables influence usual higher-order stochastic dominance. The main result generalizes the ones in Pomatto et al. (2020) from the first-order and second-order stochastic dominance to the higher-order. |
| title | Moment inequalities for higher-order (inverse) stochastic dominance |
| topic | Probability |
| url | https://arxiv.org/abs/2601.03541 |