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.

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

Domains: Humanities and Social Sciences; Economics and Finance; Economy and decision science

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⟩