Multidimensional stochastic dominance for discrete uniform distribution

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10384629" target="_blank" >RIV/00216208:11320/16:10384629 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Multidimensional stochastic dominance for discrete uniform distribution
Original language description
Stochastic dominance is a form of stochastic ordering, which stems from decision theory when one gamble can be ranked as superior to another one for a broad class of decision makers whose utility functions, representing preferences, have very general form. There exists extensive theory concerning one dimensional stochastic dominance of different orders. However it is not obvious how to extend the concept to multiple dimension which is especially crucial when utilizing multidimensional non separable utility functions. One possible approach is to transform multidimensional random vector to one dimensional random variable and put equivalent stochastic dominance in multiple dimension to stochastic dominance of transformed vectors in one dimension. We suggest more general framework which does not require reduction of dimensions of random vectors. We introduce two types of stochastic dominance and seek for their generators in terms of von Neumann -Morgenstern utility functions. Moreover, we develop necessary and sufficient conditions for stochastic dominance between two discrete random vectors with uniform distribution.
Czech name
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Czech description
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
675-680
Publisher name
TECHNICAL UNIVERSITY LIBEREC
Place of publication
LIBEREC
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000385239500116

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