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Journal Articles Management Science Year : 1988

Dominance Conditions for Multivariate Utility Functions

Abstract

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.
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hal-00542237 , version 1 (02-12-2010)

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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⟩

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