Critical Values for Almost Stochastic Dominance Based on Relative Risk Aversion

12 Pages Posted: 28 Sep 2015 Last revised: 7 Nov 2015

See all articles by Thierry Post

Thierry Post

Graduate School of Business of Nazarbayev University

Date Written: November 6, 2015

Abstract

We derive critical values for the violation area in Nth order Almost Stochastic Dominance based on the Nth degree coefficient of relative risk aversion of reasonable utility functions. Our critical values are consistent with existing experimental estimates but apply for a broader range of choice problems by accounting for prior information about risk aversion and the relative range of the outcomes.

Keywords: Decision Making under Risk, Expected Utility Theory, Stochastic Dominance

JEL Classification: C44, D81

Suggested Citation

Post, Thierry, Critical Values for Almost Stochastic Dominance Based on Relative Risk Aversion (November 6, 2015). Available at SSRN: https://ssrn.com/abstract=2666209 or http://dx.doi.org/10.2139/ssrn.2666209

Thierry Post (Contact Author)

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

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