Dominance Conditions for Multivariate Utility Functions

DOI10.1287/mnsc.34.4.454zbMath0647.90009OpenAlexW2023032390MaRDI QIDQ3792442

Marco Scarsini

Publication date: 1988

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.34.4.454

zbMATH Keywords

expected utilitychoice under riskbivariate risk aversionstochastic dominance conditionsk-variate risk aversion

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

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On expected utility for financial insurance portfolios with stochastic dependencies ⋮ Multivariate stochastic dominance with fixed dependence structure ⋮ Orthant orderings of discrete random vectors ⋮ Weak stochastic ordering for multidimensional Markov chains ⋮ Distributional efficiency in multiobjective stochastic linear programming ⋮ The mass transfer approach to multivariate discrete first order stochastic dominance: direct proof and implications ⋮ Robust generalized Merton-type financial portfolio models with generalized utility ⋮ Solution approaches for the multiobjective stochastic programming ⋮ Multivariate decisions with unknown price vector ⋮ Elementary multivariate rearrangements and stochastic dominance on a Fréchet class ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ First-order dominance: stronger characterization and a bivariate checking algorithm ⋮ Dominance conditions in non-additive expected utility theory ⋮ Decomposing the Cross Derivatives of a Multiattribute Utility Function into Risk Attitude and Value ⋮ Multiattribute utility functions, partial information on coefficients, and efficient choice ⋮ Stochastic dominance with nonadditive probabilities ⋮ Multivariate Concave and Convex Stochastic Dominance ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences ⋮ On risk aversion with two risks

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