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Multivariate Almost Stochastic Dominance

Publication ,  Journal Article
Tsetlin, I; Winkler, RL
Published in: Journal of Risk and Insurance
June 1, 2018

Almost stochastic dominance allows small violations of stochastic dominance rules to avoid situations where most decision makers prefer one alternative to another but stochastic dominance cannot rank them. We present the concepts of multivariate almost stochastic dominance and multivariate almost nth-degree risk and their connections with a preference for combining good with bad. Then, we show how a preference for combining good with bad can be applied to obtain various comparative statics results, and we extend our approach to risk-prone (convex) stochastic dominance, which relates to the opposite preference, for combining good with good and bad with bad.

Duke Scholars

Published In

Journal of Risk and Insurance

DOI

EISSN

1539-6975

ISSN

0022-4367

Publication Date

June 1, 2018

Volume

85

Issue

2

Start / End Page

431 / 445

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment
 

Citation

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ICMJE
MLA
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Tsetlin, I., & Winkler, R. L. (2018). Multivariate Almost Stochastic Dominance. Journal of Risk and Insurance, 85(2), 431–445. https://doi.org/10.1111/jori.12222
Tsetlin, I., and R. L. Winkler. “Multivariate Almost Stochastic Dominance.” Journal of Risk and Insurance 85, no. 2 (June 1, 2018): 431–45. https://doi.org/10.1111/jori.12222.
Tsetlin I, Winkler RL. Multivariate Almost Stochastic Dominance. Journal of Risk and Insurance. 2018 Jun 1;85(2):431–45.
Tsetlin, I., and R. L. Winkler. “Multivariate Almost Stochastic Dominance.” Journal of Risk and Insurance, vol. 85, no. 2, June 2018, pp. 431–45. Scopus, doi:10.1111/jori.12222.
Tsetlin I, Winkler RL. Multivariate Almost Stochastic Dominance. Journal of Risk and Insurance. 2018 Jun 1;85(2):431–445.
Journal cover image

Published In

Journal of Risk and Insurance

DOI

EISSN

1539-6975

ISSN

0022-4367

Publication Date

June 1, 2018

Volume

85

Issue

2

Start / End Page

431 / 445

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment