Dominance Axioms and Multivariate Nonexpected Utility Preferences
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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Volume (Year): 34 (1993)
Issue (Month): 2 (May)
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