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

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.

Mots clés: probability (distribution comparison); utility/preference (theory)

Domaines: Economie et sciences de la décision

Marco Scarsini. Multivariate stochastic dominance with fixed dependence structure. Operations Research Letters, 1988, Vol. 7, N°5, pp. 237-240. ⟨10.1016/0167-6377(88)90038-7⟩. ⟨hal-00542234⟩