Extension of stochastic dominance theory to random variables

Chi-Kwong Li; Wing-Keung Wong

doi:10.1051/ro:1999100

Extension of stochastic dominance theory to random variables

Chi-Kwong Li, Wing-Keung Wong

Research output: Contribution to journal › Journal article › peer-review

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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.

Original language	English
Pages (from-to)	509-524
Number of pages	16
Journal	RAIRO - Operations Research
Volume	33
DOIs	https://doi.org/10.1051/ro:1999100
Publication status	Published - Oct 1999

User-Defined Keywords

Ascending stochastic dominance
descending stochastic dominance
risk lovers
risk averters
utility function

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10.1051/ro:1999100

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title = "Extension of stochastic dominance theory to random variables",

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.",

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AU - Li, Chi-Kwong

AU - Wong, Wing-Keung

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N2 - 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.

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.

KW - Ascending stochastic dominance

KW - descending stochastic dominance

KW - risk lovers

KW - risk averters

KW - utility function

U2 - 10.1051/ro:1999100

DO - 10.1051/ro:1999100

M3 - Journal article

SN - 0399-0559

VL - 33

SP - 509

EP - 524

JO - RAIRO - Operations Research

JF - RAIRO - Operations Research

ER -

Extension of stochastic dominance theory to random variables

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