The Family of Alpha,[a,b] Stochastic Orders: Risk vs. Expected Value
The Family of Alpha,[a,b] Stochastic Orders: Risk vs. Expected Value
In this paper we provide a novel family of stochastic orders that generalizes second order stochastic dominance, which we call the $\alpha,[a,b]$-concave stochastic orders. These stochastic orders are generated by a novel set of ``very" concave functions where $\alpha$ parameterizes the degree of concavity. The $\alpha,[a,b]$-concave stochastic orders allow us …