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Dominance Axioms and Multivariate Nonexpected Utility Preferences

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  • Safra, Zvi
  • Segal, Uzi

Abstract

This paper deals with nonexpected utility preferences over multivariate distributions. The authors present two equivalent dominance axioms, implying an additivety separable structure of the local utility functions. They also imply that nonexpected utility functionals directly depend on the marginals of the multivariate distributions. The authors define an invariance axiom and show that it is equivalent to the property that all local utility functions are ordinally equivalent and that it implies an additively separable expected utility functional when the dominance axiom is assumed. An interesting property of multivariate preferences is that risk neutrality does not imply affinity of the utility function over nonstochastic outcomes. Copyright 1993 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 34 (1993)
Issue (Month): 2 (May)
Pages: 321-34

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Handle: RePEc:ier:iecrev:v:34:y:1993:i:2:p:321-34

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Cited by:
  1. Greg Hannsgen, 2007. "Are the Costs of the Business Cycle 'Trivially Small'?," Economics Working Paper Archive wp_492, Levy Economics Institute.
  2. Arthur Charpentier & Alfred Galichon & Marc Henry, 2012. "Local Utility and Multivariate Risk Aversion," CIRJE F-Series CIRJE-F-836, CIRJE, Faculty of Economics, University of Tokyo.
  3. Hannsgen, Greg, 2008. "The welfare economics of macroeconomics and chooser-dependent, non-expected utility preferences: A Senian critique with an application to the costs of the business cycle," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(5), pages 1980-1993, October.
  4. Horowitz, John K., 2006. "The Becker-DeGroot-Marschak mechanism is not necessarily incentive compatible, even for non-random goods," Economics Letters, Elsevier, vol. 93(1), pages 6-11, October.

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