Document Type

Journal Article

Department/Unit

Department of Economics

Abstract

This paper extends the work on location-scale (LS) family with general n random seed sources. First, we clarify and generalize existing results in this multivariate setting. Some useful geometrical and topological properties of the location-scale expected utility functions are obtained. Second, we introduce and study some general non-expected utility functions defined over the LS family. Special care is taken in characterizing the shapes of the indifference curves induced by the location-scale expected utility functions and non-expected utility functions. Finally, efforts are also made to study several well-defined partial orders and dominance relations defined over the LS family. These include the first- and second-order stochastic dominances, the mean-variance rule, and a newly defined location-scale dominance

Publication Year

2008

Journal Title

Economic Theory

Volume number

37

Issue number

1

Publisher

Springer

First Page (page number)

119

Last Page (page number)

146

Referreed

1

DOI

10.1007/s00199-007-0254-3

ISSN (print)

0938-2259

Link to Publisher’s Edition

http://dx.doi.org/10.1007/s00199-007-0254-3

Keywords

Location-scale family, Inverse problem, Non-expected utility function, Stochastic dominance, Location-scale dominance, Mean-variance rule

Included in

Economics Commons

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