Bivariate almost stochastic dominance

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104770

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104770

Title:	Bivariate almost stochastic dominance
Authors:	黃瑞卿;Denuit, Michel M.;Huang, Rachel J.;Tzeng, Larry Y.
Contributors:	管理學院財務金融學系
Keywords:	Altruism;Analysis;Correlation (Statistics);Decision making;Distribution functions;Dominance;Economic problems;Economic theory;Economic Theory/Quantitative Economics/Mathematical Methods;Economics;Economics and Finance;Envy;Expected utility;Financial portfolios;Financial risks;Game Theory;Income distribution;Investment risk;Investors;Methods;Microeconomics;Multivariate analysis;Preferences;Probability;Public Finance;Quadrants;Random variables;Research Article;Respect;Risk aversion;Rules;Social and Behav. Sciences;Stochastic models;Stochastic processes;Studies;Utility functions
Date:	2014-01-01
Issue Date:	2026-04-23 11:57:43 (UTC+8)
Publisher:	Springer New York;Berlin/Heidelberg: Springer
Abstract:	摘要： Univariate almost stochastic dominance has been widely studied and applied since its introduction by Leshno and Levy (Manag Sci 48: 1074-1085, 2002). This paper extends this construction to the bivariate case by means of suitable two-attribute utility functions. After having confined correlation aversion and correlation loving to some acceptable levels, bivariate almost stochastic dominance rules are introduced for the preferences exhibiting confined correlation aversion and confined correlation loving. The impact of a change in risk in terms of bivariate almost stochastic dominance on optimal saving is analyzed as an application, as well as the effect of envy and altruism on income distributions. Finally, alternative definitions of bivariate almost stochastic dominance are discussed, as well as testing procedures for such dominance rules in financial problems. 其他題名： Econ Theory 出版者： Berlin/Heidelberg: Springer 出版日期： 2014-10-01 出處： Economic theory, 2014-10, Vol.57 (2), p.377-405 資源來源： EBSCOhost Business Source Premier 版權： Springer-Verlag Berlin Heidelberg 2014 版權： COPYRIGHT 2014 Springer 識別號： ISSN: 0938-2259 識別號： EISSN: 1432-0479 識別號： DOI: 10.1007/s00199-014-0826-y
Appears in Collections:	[Department of Finance] journal & Dissertation

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