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SEMINARIO CEA/MIPP/ Leandro Gorno (FGV EPGE)

Hora: 12:30 PM Santiago.

Dónde: Sala Consejo (401) – Beauchef 851, piso 4 | Departamento de Ingeniería Industrial.

Tema:   “Dynamic Stochastic Dominance ” (con Alessandro T. Rivello (FGV EPGE)).

Speaker: Leandro Gorno (FGV EPGE)

Abstract:

This paper extends the concept of stochastic dominance to dynamic environments. Our primary result is a characterization of dominance orders between stochastic payoff processes, determined by unanimity among groups of discounted expected utility maximizers. We investigate the implications of this characterization for first-order dynamic stochastic dominance when payoffs follow standard diffusion processes. Additionally, we introduce a measure to quantify the intensity of dominance between payoff processes, which we then use to derive robust bounds on asset price differentials.