Dominance Conditions for Multivariate Utility Functions

Marco Scarsini

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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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Published in Management Science, 1988, Vol. 34, N°4, pp. 454-460. ⟨10.1287/mnsc.34.4.454⟩

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Journal Article: Dominance Conditions for Multivariate Utility Functions (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00542237

DOI: 10.1287/mnsc.34.4.454

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