Multivariate decision-making under risk aversion
New multivariate stochastic dominance rules are developed for the class of all risk averse decision-makers. The results are interesting for two reasons. First, they provide a direct extension of the first-order multivariate dominance criteria of \textit{D. Levhari}, \textit{J. P. Paroush} and \textit{B. Peleg} [Rev. Econ. Stud. 42, 87-91 (1975; Zbl 0347.60016)] to the case of risk averse decision-makers. Second, the presented results illustrate how second-order stochastic dominance rules involve an explicit separation of preferences over commodity bundles from attitudes toward risk. The proposed approach is an alternative to that of \textit{W. R. Russel} and \textit{T. K. Seo} [Rev. Econ. Stud. 45, 605-610 (1978; Zbl 0431.90012)].
- Multivariate decisions with unknown price vector
- Dominance Conditions for Multivariate Utility Functions
- Multivariate stochastic dominance for risk averters and risk seekers
- Multivariate concave and convex stochastic dominance
- Stochastic Dominance Decision Rules when the Attributes are Utility Independent
- Approximation of convex preferences
- Concavifiability and constructions of concave utility functions
- Efficiency Analysis for Multivariate Distributions
- Generalized concavity
- scientific article; zbMATH DE number 3848917 (Why is no real title available?)
- scientific article; zbMATH DE number 3856837 (Why is no real title available?)
- scientific article; zbMATH DE number 5122486 (Why is no real title available?)
- scientific article; zbMATH DE number 3365044 (Why is no real title available?)
- scientific article; zbMATH DE number 3084780 (Why is no real title available?)
- Least concave utility functions
- Multi-Period Consumption Decision under Conditions of Uncertainty
- Multivariate decision-making
- Non-Convexifiable Pareto Sets
- Ordering Uncertain Prospects: The Multivariate Utility Functions Case
- Research Bibliography—Stochastic Dominance: A Research Bibliography
- Stochastic Dominance and the Maximization of Expected Utility
- Stochastic Dominance Rules for Multi-attribute Utility Functions
- Many good risks: An interpretation of multivariate risk and risk aversion without the independence axiom
- Stochastic decision problems with multiple risk-averse agents
- Multidimensional risk aversion: the cardinal sin
- Local utility and multivariate risk aversion
- Multivariate stochastic dominance for risk averters and risk seekers
- Stochastic Dominance Decision Rules when the Attributes are Utility Independent
- Preference Convex Unanimity in Multiple Criteria Decision Making
- Multivariate risk aversion with applications
- Generalized Expected Utility Analysis of Multivariate Risk Aversion
- Risk aversion for variational and multiple-prior preferences
- Dual theory of choice with multivariate risks
- scientific article; zbMATH DE number 1530348 (Why is no real title available?)
- Decision-Making Under Conditions of Multiple Values and Variation in Conditions of Risk and Uncertainty
- scientific article; zbMATH DE number 5593018 (Why is no real title available?)
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Decision making in financial markets through multivariate ordering procedure
- Correlated risks, bivariate utility and optimal choices
- Some properties of the risk set in multiple decision problems
- Multivariate decisions with unknown price vector
This page was built for publication: Multivariate decision-making under risk aversion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q910312)
