Stochastic dominance and Friedman-Savage utility functions (Q1116869)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Stochastic dominance and Friedman-Savage utility functions |
scientific article |
Statements
Stochastic dominance and Friedman-Savage utility functions (English)
0 references
1988
0 references
Two-way stochastic dominance is defined as the ordering corresponding to the unanimous ranking given by all risk-averse and risk-loving agents. This new ordering of random incomes is shown to have an intuitive economic interpretation and to be a potential substitute for first degree dominance. Two-way dominance is shown to be closely related to a class of utility functions which has been studied by \textit{M. Friedman} and \textit{L. Savage} [J. Polit. Econ. 41, 279-304 (1948)]. The analysis draws on the geometry of cone orderings, a technique which yields rather directly the price characterization of random variables efficient with respect to two- way dominance.
0 references
T-functions
0 references
Two-way stochastic dominance
0 references
cone orderings
0 references