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

DOI10.1016/J.JMATECO.2003.05.001MaRDI QIDQ707380zbMATH OpenOpenAlexFDO

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)

Review text

From the author's abstract: We develop a theory of decision making and general equilibrium for contingent markets when incomplete preferences are generated by second order stochastic dominance. Demand, Pareto-optimality and equilibria dominance are fully characterized. Demands and equilibrium allocations are non-increasing functions of the pricing density and Pareto-optimal allocations are comonotone.

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Cites work

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Cited in

(8)

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

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