annuncio seminario

[Pietro Muliere <pietro.muliere@uni-bocconi.it>]

Istituto Metodi Quantitativi - Università L. Bocconi
Viale Isonzo, 25 - 20135 Milano
Tel. 02-58365629  - Fax 02-58365630



SEMINARIO

  Second stochastic dominance
under ambiguity


  Gleb A. Koshevoy
Russian Academy of Sciences
Central Institute of Economics and Mathematics




Giovedì, 16 maggio 2002  ore 16.00
Aula IMQ (stanza n. 137)




Abstract:
In many practical situationsa problem of comparison of risks under 
ambiguity is faced. We model ambiguity as a random closed set in an 
Euclidean space. A random one-point closed set is a random vector (or 
uncertanty). We propose a notion of pseudo-zonoid of a random closed set, a 
generalization of lift-zonoid of a random vector (Koshevoy and Mosler 
(1998)). We define the ordering via inclusion of the pseudo-zonoids. This 
ordering can be considered as a generalization of second stochastic 
dominance of random variables, because this ordering is precisely the 
second stochastic ordering for one-dimensional random one-point sets. We 
characterize this ordering by means of weak super- and sub-majorizations of 
some one dimensional projections of random closed sets. We also obtain a 
characterization of this ordering using upper- and lower Choquet integrals. 
On this way some generalizations of results for random vectors are obtained.