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Dominance Conditions for Multivariate Utility Functions

Abstract : Stochastic dominance conditions are given for n-variate utility functions, when k-variate risk aversion is assumed for k = 1, 2, ..., n. These conditions are expressed through a comparison of distribution functions, as in the well-known univariate case, and through a comparison of random variables defined on the same probability space.
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Submitted on : Thursday, December 2, 2010 - 9:45:21 AM
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Marco Scarsini. Dominance Conditions for Multivariate Utility Functions. Management Science, INFORMS, 1988, Vol. 34, N°4, pp. 454-460. ⟨10.1287/mnsc.34.4.454⟩. ⟨hal-00542237⟩



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