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Stochastic dominance with pair-wise risk aversion
Authors:Marco Scarsini
Affiliation:Universitá di Parma, 43100 Parma, Italy
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:
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