Multivariate stochastic dominance with fixed dependence structure

Marco Scarsini

doi:10.1016/0167-6377(88)90038-7

Journal articles

Multivariate stochastic dominance with fixed dependence structure

Marco Scarsini ^{1, 2}

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

2 Dipartimento di Scienze Economiche e Aziendali

Abstract : Stochastic dominance conditions for multivariate prospects are provided under the assumption of equal dependence structure for the prospects. These conditions are easily testable since they involve only the marginal distribution functions.

Keywords : probability (distribution comparison) utility/preference (theory)

Document type :

Journal articles

Domain :

Humanities and Social Sciences / Economics and Finance / Economy and decision science

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https://hal-hec.archives-ouvertes.fr/hal-00542234
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Thursday, December 2, 2010 - 9:41:32 AM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

Multivariate stochastic dominance with fixed dependence structure

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Multivariate stochastic dominance with fixed dependence structure

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