Extension of stochastic dominance theory to random variables

Chi Kwong Li, Wing Keung Wong

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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.
Original languageEnglish
Pages (from-to)509-524
Number of pages16
JournalRAIRO - Operations Research
Publication statusPublished - 1999

User-Defined Keywords

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


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