| Issue |
RAIRO-Oper. Res.
Volume 33, Number 4, October-December 1999
|
|
|---|---|---|
| Page(s) | 509 - 524 | |
| DOI | https://doi.org/10.1051/ro:1999100 | |
| Published online | 15 August 2002 | |
Extension of stochastic dominance theory to random variables
1
Department of Mathematics, College of
William and Mary, Williamsburg, VA 23187, U.S.A.
2
Department of Economics, National
University of Singapore, and Department of Statistics
and Graduate School of Business, University of Wisconsin-Madison,
U.S.A.
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.
Key words: Ascending stochastic dominance / descending stochastic dominance / risk lovers / risk averters / utility function.
© EDP Sciences, 1999
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