• English
    • français
  • Help
  •  | 
  • Contact
  •  | 
  • About
  •  | 
  • Login
  • HAL portal
  •  | 
  • Pages Pro
  • EN
  •  / 
  • FR
View Item 
  •   LillOA Home
  • Liste des unités
  • Lille Économie Management (LEM) - UMR 9221
  • View Item
  •   LillOA Home
  • Liste des unités
  • Lille Économie Management (LEM) - UMR 9221
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

A lattice approach to the Beta distribution ...
  • BibTeX
  • CSV
  • Excel
  • RIS

Document type :
Pré-publication ou Document de travail
Title :
A lattice approach to the Beta distribution induced by stochastic dominance: Theory and applications
Author(s) :
Braouezec, Yann [Auteur]
Lille économie management - UMR 9221 [LEM]
IÉSEG School Of Management [Puteaux]
Cagnol, John [Auteur]
Université Paris-Saclay
Fédération de Mathématiques de l'Ecole Centrale Paris [FR3487]
Mathématiques et Informatique pour la Complexité et les Systèmes [MICS]
HAL domain(s) :
Mathématiques [math]/Probabilités [math.PR]
Économie et finance quantitative [q-fin]/Gestion des risques [q-fin.RM]
Sciences de l'Homme et Société/Economies et finances
English abstract : [en]
We provide a comprehensive analysis of the two-parameter Beta distributions seen from the perspective of second-order stochastic dominance. By changing its parameters through a bijective mapping, we work with a bounded ...
Show more >
We provide a comprehensive analysis of the two-parameter Beta distributions seen from the perspective of second-order stochastic dominance. By changing its parameters through a bijective mapping, we work with a bounded subset D instead of an unbounded plane. We show that a mean-preserving spread is equivalent to an increase of the variance, which means that higher moments are irrelevant to compare the riskiness of Beta distributions. We then derive the lattice structure induced by second-order stochastic dominance, which is feasible thanks to the topological closure of D. Finally, we consider a standard (expected-utility based) portfolio optimization problem in which its inputs are the parameters of the Beta distribution. We explicitly characterize the subset of D for which the optimal solution consists of investing 100% of the wealth in the risky asset and we provide an exhaustive numerical analysis of this optimal solution through (color-coded) graphs.Show less >
Language :
Anglais
Collections :
  • Lille Économie Management (LEM) - UMR 9221
Source :
Harvested from HAL
Files
Thumbnail
  • http://arxiv.org/pdf/2104.01412
  • Open access
  • Access the document
Université de Lille

Mentions légales
Université de Lille © 2017