In this paper we show that under appropriate moment conditions, the supermodular ordered random vectors X = (X1, X2, ... , Xn) and Y = (Y1, Y2, ... ,Yn) with equal expected utilities (or distorted expectations) of the sums X1 + X2 + ... + Xn and Y1 + Y2 + ... + Yn for an appropriate utility (or...

In this paper we show that under appropriate moment conditions, two supermodular ordered random vectors with equal expected utilities (or distorted expectations) of the sums for an appropriate utility (or distortion) function, must necessarily be equal in distribution. The results in this paper...

We derive the optimal portfolio for an expected utility maximizer whose utility does not only depend on terminal wealth but also on some random benchmark (state-dependent utility). We then apply this result to obtain the optimal portfolio of a loss-averse investor with a random reference point...