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Partial Moments and Negative Moments in Ordering Asymmetric Distributions

  • Grażyna Trzpiot
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)

Abstract

Moment ordering condition is shown to be necessary for stochastic dominance. In this paper related results of the partial moments and negative moments are presented. The condition for any degree of stochastic dominance, by ordering fractional and negative moments of the distribution, will be shown. We present the sufficient condition for restricted families of distribution functions - a class of asymmetric distributions. Additionally we present a related general measure based on fractional moments, which can be used for complete ordering the set of distributions. The condition applies generally, subject only to the requirement that the moments exist. The result rests on the fact that the negative and the fractional moments of the distribution can be interpreted as constant relative risk aversion utility function.

Keywords

Utility Function Portfolio Selection Stochastic Dominance Constant Relative Risk Aversion Lorenz Dominance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin · Heidelberg 2005

Authors and Affiliations

  • Grażyna Trzpiot
    • 1
  1. 1.Department of StatisticsKatowice University of EconomicsKatowicePoland

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