Extension of stochastic dominance theory to random variables

被引：54
|
作者：
Li, CK [1 ]
Wong, WK
机构：
[1] Coll William & Mary, Dept Math, Williamsburg, VA 23187 USA
[2] Natl Univ Singapore, Dept Econ, Singapore 117548, Singapore
[3] Univ Wisconsin, Dept Stat, Madison, WI USA
[4] Univ Wisconsin, Grad Sch Business, Madison, WI USA
来源：
RAIRO-RECHERCHE OPERATIONNELLE-OPERATIONS RESEARCH | 1999年 / 33卷 / 04期
关键词：
ascending stochastic dominance; descending stochastic dominance; risk lovers; risk averters; utility function;
D O I：
10.1051/ro:1999100
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, wt develop some stochastic dominance theorems Sor 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.
引用
收藏
页码：509 / 524
页数：16
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