Extension of stochastic dominance theory to random variables

Extension of stochastic dominance theory to random variables

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

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