Market behavior when preferences are generated by second-order stochastic dominance
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Publication:707380
DOI10.1016/J.JMATECO.2003.05.001zbMATH Open1113.91012OpenAlexW1976162807MaRDI 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
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Cites Work
- Coherent measures of risk
- Non-additive measure and integral
- Descriptive statistics for non-parametric models. III: Dispersion
- Integral Representation Without Additivity
- Stochastic finance. An introduction in discrete time
- 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
- Title not available (Why is that?)
- Title not available (Why is that?)
- Portfolio Efficient Sets
- A Schur concave characterization of risk aversion for non-expected utility preferences
- A Price Characterization of Efficient Random Variables
- Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing
Cited In (8)
- Equimeasurable Rearrangements with Capacities
- How the market responds to dynamically inconsistent preferences
- Pareto efficiency for the concave order and multivariate comonotonicity
- Sequential trading with coarse contingencies
- A Neyman-Pearson problem with ambiguity and nonlinear pricing
- Vigilant measures of risk and the demand for contingent claims
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
- Pareto optima and equilibria when preferences are incompletely known
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