Multivariate stochastic orderings consistent with preferences and their possible applications
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086864" target="_blank" >RIV/61989100:27510/13:86086864 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Multivariate stochastic orderings consistent with preferences and their possible applications
Original language description
In this paper we propose multivariate stochastic orderings of risk positions that are consistent with the preferences of investors. Since investors maximize an expected state-dependent utility function, we analyze stochastic orderings that take into account of possible investors' benchmarks. We begin by analyzing the links among continua stochastic dominance orders, survival and inverse stochastic dominance rules. Then we tie together the consistency-isotonicity of risk and reward multivariate measureswith classical orderings and we show how risk/variability multivariate measures are used to obtain non dominated choices. In second analysis we discuss an extension of the classical orderings using probability functionals that satisfy an opportune identity property and the basic rules of the theory of integral stochastic orders. In the discussion we propose several examples that clarify the main developments of the proposed analysis. In particular we describe new multivariate orderings t
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
724-729
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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