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The evolution of income inequality in the European Union

Alvarez-Garcia, Santiago; Prieto-Rodriguez, Juan; … - EconWPA - 2003

The objective of this work is to analyse the income inequality in the 15 EU countries during the convergence process to … whether the inequality of income has diminished within and between countries over time. Gini's generalised family indices … the results obtained to different degrees of inequality aversion and to different equivalence scales, taking into account …

Persistent link: https://www.econbiz.de/10005076592

Inverse stochastic dominance constraints and rank dependent expected utility theory

Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2005

We consider optimization problems with second order stochastic dominance constraints formulated as a relation of Lorenz curves. We characterize the relation in terms of rank dependent utility functions, which generalize Yaari's utility functions. We develop optimality conditions and duality...

Persistent link: https://www.econbiz.de/10005125607

Stochastic Dominance Portfolio Analysis of Forestry Assets

Heikkinen, V.-P.; Kuosmanen, Timo - EconWPA - 2002

We consider the forestry decision-making and harvesting problem from the perspective of financial portfolio management, where harvestable forest stands constitute one of the liquid assets of the portfolio. Using real data from Finnish mixed borealis forests and from the Helsinki stock exchange,...

Persistent link: https://www.econbiz.de/10005134874

Convexification of Stochastic Ordering

Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2004

We consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed convex hull of the first set is equal to the second set.

Persistent link: https://www.econbiz.de/10005408245

Optimization Under First Order Stochastic Dominance Constraints

Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2004

We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions...

Persistent link: https://www.econbiz.de/10005556746

Expected utility without utility

Castagnoli, Erio; LiCalzi, Marco - EconWPA - 2005

This paper advances an interpretation of Von Neumann–Morgenstern’s expected utility model for preferences over lotteries which does not require the notion of a cardinal utility over prizes and can be phrased entirely in the language of probability. According to it, the expected utility of a...

Persistent link: https://www.econbiz.de/10005118603

Portfolio Optimization With Stochastic Dominance Constraints

Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2004

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for...

Persistent link: https://www.econbiz.de/10005561562

Stochastic Dominance Efficiency Tests under Diversification

Kuosmanen, Timo - EconWPA - 2001

This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...

Persistent link: https://www.econbiz.de/10005561692

INCOME CONVERGENCE DURING THE DISINTEGRATION OF THE WORLD ECONOMY 1919-39

Milanovic, Branko - EconWPA - 2003

Some economists have argued that the process of disintegration of the world economy between the two World Wars led to income divergence between the countries. This is in keeping with the view that economic integration leads to income convergence. The paper shows that the view that the period...

Persistent link: https://www.econbiz.de/10005076560

Household Wealth, Public Consumption, and Economic Well-Being in the United States

Wolff, Edward N.; Zacharias, Ajit; Caner, Asena - EconWPA - 2003

Standard official measures of economic well-being are based on money income. The general consensus is that such measures are seriously flawed because they ignore several crucial determinants of well-being. We examine two such determinants-household wealth and public consumption-in the context of...

Persistent link: https://www.econbiz.de/10005076601