Stochastic dominance with pair-wise risk aversion

Marco Scarsini

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Abstract: A class of stochastic orders is defined on the set of bivariate distribution functions. This class of orders is linearly orderable by inclusion. A family of utility functions, coherent with each of the stochastic orders previously defined, is determined. These utility functions represent pair-wise risk aversion. The relations with univariate stochastic orders are examined.

Keywords: Stochastic dominance; pair-wise; risk; aversion (search for similar items in EconPapers)
Date: 1985
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Citations: View citations in EconPapers (10)

Published in Journal of Mathematical Economics, 1985, Vol. 14, N°2, pp. 187-201. ⟨10.1016/0304-4068(85)90019-9⟩

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Journal Article: Stochastic dominance with pair-wise risk aversion (1985)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00542275

DOI: 10.1016/0304-4068(85)90019-9

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