Multivariate Concave and Convex Stochastic Dominance
نویسندگان
چکیده
One of the big challenges in decision analysis is the assessment of a decision maker’s utility function. To the extent that the alternatives under consideration in a decision-making problem can be partially ordered based on less-than-full information about the utility function, the problem can be simplified somewhat by eliminating dominated alternatives. At the same time, partial orders can help in the creation of alternatives by providing an indication of the types of strategies that might be most promising. Stochastic dominance has been studied extensively in the univariate case, particularly in the finance and economics literature; early papers are Hadar and Russell (1969) and Hanoch and Levy (1969). For example, assuming that util-
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