Moment-Preserving Shifts and Stochastic Dominance

Published Online:https://doi.org/10.1287/moor.7.4.629

Let Mn be the set of signed measures on the line with nonempty finite supports whose first n − 1 moments vanish and which satisfy a specified positivity condition. Let Mn* be the minimum-support measures in Mn. Then Mn is the convex cone spanned by Mn* if n ≤ 3 but not if n ≥ 4.

INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.