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- W2161691912 abstract "In this paper, we show that, despite their rigid analytical form, substitute risk-independent utilities have a much wider applicability than expected. Our contribution extends that of Mosler (Mosler, K. C. 1984. Stochastic dominance decision rules when the attributes are utility independent. Management Sci. 30(11) 1311–1322) by considering utility functions that exhibit properties beyond nonsatiation and risk aversion (e.g., prudence and temperance). By using the widespread idea of correlation aversion, substitute risk-independent utilities are shown to generate bivariate stochastic dominance. As an application, portfolios are compared to assess the possible hedging effect between two outcomes." @default.
- W2161691912 created "2016-06-24" @default.
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- W2161691912 date "2010-09-01" @default.
- W2161691912 modified "2023-10-06" @default.
- W2161691912 title "Bivariate Stochastic Dominance and Substitute Risk-(In)dependent Utilities" @default.
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- W2161691912 doi "https://doi.org/10.1287/deca.1100.0179" @default.
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