Critical Values for Almost Stochastic Dominance Based on Relative Risk Aversion
12 Pages Posted: 28 Sep 2015 Last revised: 7 Nov 2015
Date Written: November 6, 2015
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
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