Extension of stochastic dominance theory to random variables

Extension of stochastic dominance theory to random variables

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Article ID: iaor20052519
Country: France
Volume: 33
Issue: 4
Start Page Number: 509
End Page Number: 524
Publication Date: Oct 1999
Journal: RAIRO Operations Research
Authors: ,
Abstract:

In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar & Russell and Tesfatsion. The results are discussed and applied to decision-making.

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