Market behavior when preferences are generated by second-order stochastic dominance

DOI10.1016/J.JMATECO.2003.05.001zbMATH1113.91012OpenAlexW1976162807MaRDI QIDQ707380FDOQ707380

Authors R. A. Dana

Publication date 9 February 2005

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://basepub.dauphine.fr/handle/123456789/6697

zbMATH Keywords

equilibrium

Mathematics Subject Classification ID

Decision theory (91B06) General equilibrium theory (91B50)

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Cites work

• scientific article; zbMATH DE number 3646134 (Why is no real title available?)
• scientific article; zbMATH DE number 2046106 (Why is no real title available?)
• A Price Characterization of Efficient Random Variables
• A Schur concave characterization of risk aversion for non-expected utility preferences
• Arrow's theorem on the optimality of deductibles: A stochastic dominance approach
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Coherent measures of risk
• Descriptive statistics for non-parametric models. III: Dispersion
• Integral Representation Without Additivity
• Non-additive measure and integral
• Portfolio Efficient Sets
• Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing
• Stochastic finance. An introduction in discrete time

Cited in

(8)

• How the market responds to dynamically inconsistent preferences
• Equimeasurable rearrangements with capacities
• Vigilant measures of risk and the demand for contingent claims
• Sequential trading with coarse contingencies
• A Neyman-Pearson problem with ambiguity and nonlinear pricing
• Pareto efficiency for the concave order and multivariate comonotonicity
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Pareto optima and equilibria when preferences are incompletely known

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