Stochastic Dominance Decision Rules when the Attributes are Utility Independent

DOI10.1287/MNSC.30.11.1311MaRDI QIDQ3217869zbMATH OpenOpenAlexFDO

Authors Karl Mosler

Publication date 1984

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.30.11.1311

zbMATH Keywords

risk aversionmultivariate stochastic dominanceutility independencemultiattribute decision rules

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Decision theory (91B06) Utility theory (91B16)

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• Robust generalized Merton-type financial portfolio models with generalized utility
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• Distributional efficiency in multiobjective stochastic linear programming
• Stochastic dominance with nonadditive probabilities
• Decision making with incomplete information
• Multivariate decisions with unknown price vector
• Correlation aversion and bivariate stochastic dominance with respect to reference functions
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• The mass transfer approach to multivariate discrete first order stochastic dominance: direct proof and implications
• Dominance conditions in non-additive expected utility theory
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• Solution approaches for the multiobjective stochastic programming
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• Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
• Multiattribute utility functions, partial information on coefficients, and efficient choice
• An interactive decision procedure with multiple attributes under risk
• First-order dominance: stronger characterization and a bivariate checking algorithm

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