Dominance Conditions for Multivariate Utility Functions

Stochastic dominance conditions are given for n-variate utility functions, when k-variate risk aversion is assumed for k = 1, 2, ..., n. These conditions are expressed through a comparison of distribution functions, as in the well-known univariate case, and through a comparison of random variables defined on the same probability space.

MoreLess

Year of publication:	1988
Authors:	Scarsini, Marco
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 34.1988, 4, p. 454-460
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	stochastic dominance \| multivariate utility functions \| multivariate risk aversion

More details

Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.34.4.454 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009203827