Dominance Conditions for Multivariate Utility Functions

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 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.

Keywords: stochastic dominance; multivariate utility functions; multivariate risk aversion

Domains: Economy and decision science

Marco Scarsini. Dominance Conditions for Multivariate Utility Functions. Management Science, 1988, Vol. 34, N°4, pp. 454-460. ⟨10.1287/mnsc.34.4.454⟩. ⟨hal-00542237⟩