Laws of large numbers for stochastic orders

Mu Xiaosheng
Mu Xiaosheng
Pomatto Luciano
Pomatto Luciano
Strack Philipp
Strack Philipp
Cited by: 0|Bibtex|Views6|Links

Abstract:

We establish laws of large numbers for comparing sums of i.i.d. random variables in terms of stochastic dominance. Our results shed new light on a classic question, raised first by Samuelson (1963), on the relation between expected utility, risk aversion, and the aggregation of independent risks. In the context of statistical experiment...More

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