Extension of stochastic dominance theory to random variables

Chi-Kwong Li; Wing-Keung Wong

RAIRO - Operations Research (2010)

  • Volume: 33, Issue: 4, page 509-524
  • ISSN: 0399-0559

Abstract

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In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.

How to cite

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Li, Chi-Kwong, and Wong, Wing-Keung. "Extension of stochastic dominance theory to random variables." RAIRO - Operations Research 33.4 (2010): 509-524. <http://eudml.org/doc/116588>.

@article{Li2010,
abstract = { In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making. },
author = {Li, Chi-Kwong, Wong, Wing-Keung},
journal = {RAIRO - Operations Research},
keywords = {Ascending stochastic dominance; descending stochastic dominance; risk lovers; risk averters; utility function.; ascending stochastic dominance; descending stochastic dominance; risk lovers; risk averters; utility function},
language = {eng},
month = {3},
number = {4},
pages = {509-524},
publisher = {EDP Sciences},
title = {Extension of stochastic dominance theory to random variables},
url = {http://eudml.org/doc/116588},
volume = {33},
year = {2010},
}

TY - JOUR
AU - Li, Chi-Kwong
AU - Wong, Wing-Keung
TI - Extension of stochastic dominance theory to random variables
JO - RAIRO - Operations Research
DA - 2010/3//
PB - EDP Sciences
VL - 33
IS - 4
SP - 509
EP - 524
AB - In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.
LA - eng
KW - Ascending stochastic dominance; descending stochastic dominance; risk lovers; risk averters; utility function.; ascending stochastic dominance; descending stochastic dominance; risk lovers; risk averters; utility function
UR - http://eudml.org/doc/116588
ER -

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