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Bivariate almost stochastic dominance

Author

Listed:
  • Denuit, Michel
  • Huang, Rachel
  • Tzeng, Larry

Abstract

Univariate almost stochastic dominance has been widely studied and applied since its introduction by Leshno and Levy (Manag Sci 48:1074–1085, 2002 ). This paper extends this construction to the bivariate case by means of suitable two-attribute utility functions. After having confined correlation aversion and correlation loving to some acceptable levels, bivariate almost stochastic dominance rules are introduced for the preferences exhibiting confined correlation aversion and confined correlation loving. The impact of a change in risk in terms of bivariate almost stochastic dominance on optimal saving is analyzed as an application, as well as the effect of envy and altruism on income distributions. Finally, alternative definitions of bivariate almost stochastic dominance are discussed, as well as testing procedures for such dominance rules in financial problems. Copyright Springer-Verlag Berlin Heidelberg 2014
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2014. "Bivariate almost stochastic dominance," LIDAM Reprints ISBA 2014040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2014040
    Note: In : Economic Theory, vol. 57, no. 2, p. 377-405 (2014)
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    Cited by:

    1. Tsung-Chih Lai & Jiun-Hua Su, 2023. "Counterfactual Copula and Its Application to the Effects of College Education on Intergenerational Mobility," Papers 2303.06658, arXiv.org.
    2. Liu, Liqun & Meyer, Jack, 2025. "Almost stochastic dominance: Magnitude constraints on risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 122(C), pages 82-90.
    3. Michel Denuit & Rachel Huang & Larry Tzeng, 2015. "Almost expectation and excess dependence notions," Theory and Decision, Springer, vol. 79(3), pages 375-401, November.
    4. Diego C. Nocetti, 2016. "Robust Comparative Statics of Risk Changes," Management Science, INFORMS, vol. 62(5), pages 1381-1392, May.
    5. Takashi Kamihigashi & John Stachurski, 2014. "An Axiomatic Approach to Measuring Degree of Stochastic Dominance," Discussion Paper Series DP2014-36, Research Institute for Economics & Business Administration, Kobe University.
    6. Tzu-Ying Chen & Yi-Hsin Elsa Hsu & Rachel J. Huang & Larry Y. Tzeng, 2021. "Making socioeconomic health inequality comparisons when health concentration curves intersect," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 57(4), pages 875-899, November.
    7. Liqun Liu & Jack Meyer, 2021. "Stochastic superiority," Journal of Risk and Uncertainty, Springer, vol. 62(3), pages 225-246, June.

    More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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