Arvanitis, S., "Topics in Stochastic Dominance: Robust Inference and Ambiguity-Resolved Preferences"

Title: "Topics in Stochastic Dominance: Robust Inference and Ambiguity-Resolved Preferences"

Speaker: Professor Stelios Arvanitis, Athens University of Economics and Business

Host:  Assistant Professor Efthymios Athanasiou, Department of Economics, Athens University of Economics and Business

Time: 15.30 -17.00

Room:  76, Patission Str., Antoniadou Wing, 3rd floor, Room A36

Abstract:  The presentation discusses methodological tools for stochastic dominance (SD) inference with applications ranging from income distribution comparison to robust portfolio selection. It introduces distributionally robust SD testing procedures that leverage norm-regularization and Wasserstein ambiguity sets to control false dominance errors in finite samples. Additionally, and beyond empirical testing, the talk explores a category-theoretic framework to formalize ambiguity resolution in expected utility models, culminating in a recursive construction of universal vNM preference spaces.