Preferences over location-scale family

Wing Keung WONG*, Chenghu Ma

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

59 Citations (Scopus)

Abstract

This paper extends the work on location-scale (LS) family with general n random seed sources. First, we clarify and generalize existing results in this multivariate setting. Some useful geometrical and topological properties of the location-scale expected utility functions are obtained. Second, we introduce and study some general non-expected utility functions defined over the LS family. Special care is taken in characterizing the shapes of the indifference curves induced by the location-scale expected utility functions and non-expected utility functions. Finally, efforts are also made to study several well-defined partial orders and dominance relations defined over the LS family. These include the first- and second-order stochastic dominances, the mean-variance rule, and a newly defined location-scale dominance.

Original languageEnglish
Pages (from-to)119-146
Number of pages28
JournalEconomic Theory
Volume37
Issue number1
DOIs
Publication statusPublished - Oct 2008

Scopus Subject Areas

  • Economics and Econometrics

User-Defined Keywords

  • Inverse problem
  • Location-scale dominance
  • Location-scale family
  • Mean-variance rule
  • Non-expected utility function
  • Stochastic dominance

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