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- Title
Ordering Uncertain Prospects: The Multivariate Utility Functions Case.
- Authors
Russell, William R.; Tae Kun Seo
- Abstract
After the publication of the first and second degree stochastic dominance (FSD, SSD) rules for ordering uncertain prospects, research efforts have been directed to generalizing these rules to make them applicable when utility functions are multivariate. The most significant result in this direction is published by Levhari, Paroush and Peleg (1975). They derive unanimous decision rules for two classes of agents, (i) the class of all agents with non-decreasing utility functions and (ii) the class of all agents with non-decreasing quasiconcave utility functions. However, they have neglected to provide a decision rule for the class of ali risk averters. For this latter purpose the approach chosen by Levhari et al. (1975) may be unsuitable. In this paper we pursue an alternative though similar approach to generalize both of the original stochastic dominance rules.
- Subjects
STOCHASTIC analysis; UTILITY functions; MULTIVARIATE analysis; UNCERTAINTY; STOCHASTIC processes
- Publication
Review of Economic Studies, 1978, Vol 45, Issue 3, p605
- ISSN
0034-6527
- Publication type
Article
- DOI
10.2307/2297261