Variance , Risk and Median Preserving Spreads ∗

@inproceedings{Malamud2009VarianceR,
  title={Variance , Risk and Median Preserving Spreads ∗},
  author={Semyon Malamud and Fabio Trojani},
  year={2009}
}
We say that one random variable dominates the other in the stochastic order if the covariance of any two monotone increasing functions of the first variable is larger than the covariance of the same functions of the second variable. We completely characterize this stochastic order, give strong sufficient conditions and numerous examples with concrete distributions. We show that this order is intimately related to the notion of median preserving spreads, analogous to the mean preserving spreads… CONTINUE READING
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