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Issue		RAIRO Oper. Res. Volume 33, Number 4, October-December 1999
Page(s)		509 - 524
DOI		10.1051/ro:1999100

DOI: 10.1051/ro:1999100

RAIRO Rech. Opér.     (vol. 33, n$^\circ$ 4, 1999, pp. 509-524)

Extension of stochastic dominance theory to random variables

Chi-Kwong Li¹ and Wing-Keung Wong²

¹Department of Mathematics, College of William and Mary, Williamsburg, VA 23187, U.S.A.
²Department of Economics, National University of Singapore, and Department of Statistics and Graduate School of Business, University of Wisconsin-Madison, U.S.A.

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.

Keywords: Ascending stochastic dominance, descending stochastic dominance, risk lovers, risk averters, utility function.

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