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Stochastic dominance with pair-wise risk aversion

Abstract : A class of stochastic orders is defined on the set of bivariate distribution functions. This class of orders is linearly orderable by inclusion. A family of utility functions, coherent with each of the stochastic orders previously defined, is determined. These utility functions represent pair-wise risk aversion. The relations with univariate stochastic orders are examined.
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Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Thursday, December 2, 2010 - 10:41:34 AM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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Marco Scarsini. Stochastic dominance with pair-wise risk aversion. Journal of Mathematical Economics, Elsevier, 1985, Vol. 14, N°2, pp. 187-201. ⟨10.1016/0304-4068(85)90019-9⟩. ⟨hal-00542275⟩



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