Stochastic Dominance with Pair-Wise Risk Aversion
Posted: 12 Mar 2012
Date Written: March, 11 2012
Abstract
A class of stochastic orders is defined on the set of bivariate distribution functions. This class of orders is linearly orderable by inclusion. A family of utility functions, coherent with each of the stochastic orders previously defined, is determined. These utility functions represent pair-wise risk aversion. The relations with univariate stochastic orders are examined.
Keywords: Bivariate risk aversion, stochastic orders
JEL Classification: D81
Suggested Citation: Suggested Citation
Scarsini, Marco, Stochastic Dominance with Pair-Wise Risk Aversion (March, 11 2012). Journal of Mathematical Economics, Vol. 14, No. 2, 1985, Available at SSRN: https://ssrn.com/abstract=2019838
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