Preferences over Meyer’s Location-Scale Family

Wing-Keung Wong () and Chenghu Ma ()
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Chenghu Ma: University of Essex, UK

Departmental Working Papers from National University of Singapore, Department of Economics

Abstract: This paper extends Meyer’s (1987) location-scale family with general n random seed sources. Firstly, we clarify and generalize existing results to this multivariate setting. Some useful geometrical and topological properties of the location-scale expected utility functions are obtained. Secondly, we introduce and study some general non-expected utility functions defined over the location-scale (LS) family. Special care is made in characterizing the shape of the indifference curves induced by the LS expected utility functions and non-expected utility functions. Finally, efforts are also made to study several well-defined partial orders and dominance relations defined over the LS family. These include the first-, second- order stochastic dominance, the mean -variance rule, and a newly defined location-scale dominance.

New Economics Papers: this item is included in nep-fin
Date: 2005-08
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Persistent link: http://EconPapers.repec.org/RePEc:nus:nusewp:wp0506

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