DENUIT, Michel M.; EECKHOUDT, Louis; MENEGATTI, Mario - Center for Operations Research and Econometrics (CORE), … - 2009
-financial, such as health or environmental risk. A decision has to be made about the amount of an investment (in the financial … marginally improve in univariate stochastic dominance. In the second case, a similar conclusion on optimal investment is reached …,H), respectively.
Proof. To establish that the inequality astar1 ≥ astar2 indeed holds, we need to prove that
E[u(1,0)1 (X1 + a,H1)] ≥E[u …