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Multivariate stochastic dominance for risk averters and risk seekers

2016
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Reserche operationelle
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This paper first extends some well-known univariate stochastic dominance results to multivariate stochastic dominances (MSD) for both risk averters and risk seekers, respectively, to n order for any n ≥ 1 when the attributes are assumed to be independent and the utility is assumed to be additively and separable. Under these assumptions, we develop some properties for MSD for both risk averters and risk seekers. For example, we prove that MSD are equivalent to the expected-utility maximization

doi:10.1051/ro/2016026
fatcat:o4ipuo4yvbcg5ce2f53e7vlt2u