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Extension of stochastic dominance theory to random variables

Published online by Cambridge University Press:  15 August 2002

Chi-Kwong Li
Affiliation:
Department of Mathematics, College of William and Mary, Williamsburg, VA 23187, U.S.A.
Wing-Keung Wong
Affiliation:
Department of Economics, National University of Singapore, and Department of Statistics and Graduate School of Business, University of Wisconsin-Madison, U.S.A.
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Abstract

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.

Type
Research Article
Copyright
© EDP Sciences, 1999

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