### Abstract

This paper first extends some well-known univariate stochastic dominance results to multivariate stochastic dominances (MSD) for both risk averters and risk seekers, respectively, to n order for any n ≤ 1 when the attributes are assumed to be independent and the utility is assumed to be additively and separable. Under these assumptions, we develop some properties for MSD for both risk averters and risk seekers. For example, we prove that MSD are equivalent to the expected-utility maximization for both risk averters and risk seekers, respectively. We show that the hierarchical relationship exists for MSD. We establish some dual relationships between the MSD for risk averters and risk seekers. We develop some properties for non-negative combinations and convex combinations random variables of MSD and develop the theory of MSD for the preferences of both risk averters and risk seekers on diversification. At last, we discuss some MSD relationships when attributes are dependent and discuss the importance and the use of the results developed in this paper.

Original language | English (US) |
---|---|

Pages (from-to) | 575-586 |

Number of pages | 12 |

Journal | RAIRO - Operations Research |

Volume | 50 |

Issue number | 3 |

DOIs | |

State | Published - Jul 1 2016 |

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### All Science Journal Classification (ASJC) codes

- Theoretical Computer Science
- Computer Science Applications
- Management Science and Operations Research

### Cite this

*RAIRO - Operations Research*,

*50*(3), 575-586. https://doi.org/10.1051/ro/2016026

}

*RAIRO - Operations Research*, vol. 50, no. 3, pp. 575-586. https://doi.org/10.1051/ro/2016026

**Multivariate stochastic dominance for risk averters and risk seekers.** / Guo, Xu; Wong, Wing Keung.

Research output: Contribution to journal › Article

TY - JOUR

T1 - Multivariate stochastic dominance for risk averters and risk seekers

AU - Guo, Xu

AU - Wong, Wing Keung

PY - 2016/7/1

Y1 - 2016/7/1

N2 - This paper first extends some well-known univariate stochastic dominance results to multivariate stochastic dominances (MSD) for both risk averters and risk seekers, respectively, to n order for any n ≤ 1 when the attributes are assumed to be independent and the utility is assumed to be additively and separable. Under these assumptions, we develop some properties for MSD for both risk averters and risk seekers. For example, we prove that MSD are equivalent to the expected-utility maximization for both risk averters and risk seekers, respectively. We show that the hierarchical relationship exists for MSD. We establish some dual relationships between the MSD for risk averters and risk seekers. We develop some properties for non-negative combinations and convex combinations random variables of MSD and develop the theory of MSD for the preferences of both risk averters and risk seekers on diversification. At last, we discuss some MSD relationships when attributes are dependent and discuss the importance and the use of the results developed in this paper.

AB - This paper first extends some well-known univariate stochastic dominance results to multivariate stochastic dominances (MSD) for both risk averters and risk seekers, respectively, to n order for any n ≤ 1 when the attributes are assumed to be independent and the utility is assumed to be additively and separable. Under these assumptions, we develop some properties for MSD for both risk averters and risk seekers. For example, we prove that MSD are equivalent to the expected-utility maximization for both risk averters and risk seekers, respectively. We show that the hierarchical relationship exists for MSD. We establish some dual relationships between the MSD for risk averters and risk seekers. We develop some properties for non-negative combinations and convex combinations random variables of MSD and develop the theory of MSD for the preferences of both risk averters and risk seekers on diversification. At last, we discuss some MSD relationships when attributes are dependent and discuss the importance and the use of the results developed in this paper.

UR - http://www.scopus.com/inward/record.url?scp=84979584099&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84979584099&partnerID=8YFLogxK

U2 - 10.1051/ro/2016026

DO - 10.1051/ro/2016026

M3 - Article

AN - SCOPUS:84979584099

VL - 50

SP - 575

EP - 586

JO - RAIRO - Operations Research

JF - RAIRO - Operations Research

SN - 0399-0559

IS - 3

ER -