Article ID: | iaor20127632 |
Volume: | 33 |
Issue: | 4 |
Start Page Number: | 509 |
End Page Number: | 524 |
Publication Date: | Oct 1999 |
Journal: | RAIRO - Operations Research |
Authors: | Wong Wing-Keung, Li Chi-Kwong |
Keywords: | stochastic processes, risk |
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 and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision‐making.