Dominance Conditions for Multivariate Utility Functions

Marco Scarsini

Management Science, 1988, vol. 34, issue 4, 454-460

Abstract: 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.

Keywords: stochastic dominance; multivariate utility functions; multivariate risk aversion (search for similar items in EconPapers)
Date: 1988
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Working Paper: Dominance Conditions for Multivariate Utility Functions (1988)
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