Multivariate Stochastic Dominance for Risk Averters and Risk Seekers
Xu Guo and
Wing-Keung Wong ()
MPRA Paper from University Library of Munich, Germany
This paper first extends some well-known univariate stochastic dominance results to multivariate stochastic dominances (MSD) for both risk averters and risk seekers, respectively, to n order for any n ≥ 1 when the attributes are assumed to be independent and the utility is assumed to be additively and separable. Under these assumptions, we develop some properties for MSD for both risk averters and risk seekers. For example, we prove that MSD are equivalent to the expected-utility maximization for both risk averters and risk seekers, espectively. We show that the hierarchical relationship exists for MSD. We establish some dual relationships between the MSD for risk averters and risk seekers. We develop some properties for non-negative combinations and convex combinations random variables of MSD and develop the theory of MSD for the preferences of both risk averters and risk seekers on diversification. At last, we discuss some MSD relationships when attributes are dependent and discuss the importance and the use of the results developed in this paper.
Keywords: Multivariate Stochastic Dominance; Risk Averters; Risk Seekers; Ascending stochastic dominance; descending stochastic dominance; utility function (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ore, nep-rmg and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/70637/1/MPRA_paper_70637.pdf original version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70637
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Series data maintained by Joachim Winter ().