Department of Economics
In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.
Ascending stochastic dominance, descending stochastic dominance, risk lovers, risk averters, utility function
Source Publication Title
RAIRO - Operations Research
Cambridge University Press
Link to Publisher's Edition
Li, C., & Wong, W. (1999). Extension of stochastic dominance theory to random variables. RAIRO - Operations Research, 33 (). https://doi.org/10.1051/ro:1999100