Dominance Conditions for Multivariate Utility Functions
Management Science · 1988 · Volume 34 · Issue 4
Abstract
Stochastic dominance conditions are given for n -variate utility functions, when k -variate risk aversion is assumed for k = 1, 2, …, n . These conditions are expressed through a comparison of distribution functions, as in the well-known univariate case, and through a comparison of random variables defined on the same probability space.
Keywords
stochastic dominance, multivariate utility functions, multivariate risk aversion
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