Multivariate Almost Stochastic Dominance

15 Pages Posted: 5 Jun 2018

See all articles by Ilia Tsetlin

Ilia Tsetlin

INSEAD

Robert L. Winkler

Duke University - Fuqua School of Business

Date Written: June 2018

Abstract

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.

Suggested Citation

Tsetlin, Ilia and Winkler, Robert L., Multivariate Almost Stochastic Dominance (June 2018). Journal of Risk and Insurance, Vol. 85, Issue 2, pp. 431-445, 2018, Available at SSRN: https://ssrn.com/abstract=3189175 or http://dx.doi.org/10.1111/jori.12222

Ilia Tsetlin (Contact Author)

INSEAD ( email )

Boulevard de Constance
77305 Fontainebleau Cedex
France

Robert L. Winkler

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States

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