Stochastic dominance for convex or concave utility functions

Stochastic dominance for convex or concave utility functions

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Article ID: iaor19891019
Country: France
Volume: 23
Issue: 1
Start Page Number: 57
End Page Number: 65
Publication Date: Feb 1989
Journal: RAIRO Operations Research
Authors:
Abstract:

One can admit two possible situations in relation to the attribute: a decision maker has either aversion or preference to take a risk-depending on whether the utility function is continuous and concave or continuous and convex. The objective of this paper is to develop the notions of third stochastic complementary dominances for both utility functions classes.

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