Stochastic dominance with respect to a capacity and risk measures
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- Grigorova Miryana, 2014. "Stochastic dominance with respect to a capacity and risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-37, December.
More about this item
KeywordsChoquet integral; stochastic orderings with respect to a capacity; distortion risk measure; quantile function with respect to a capacity; distorted capacity; Choquet expected utility; ambiguity; non-additive probability; Value at Risk; Rank-dependent expected utility; behavioural finance; maximal correlation risk measure; quantile-based risk measure; Kusuoka's characterization theorem;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-14 (All new papers)
- NEP-MIC-2011-11-14 (Microeconomics)
- NEP-RMG-2011-11-14 (Risk Management)
- NEP-UPT-2011-11-14 (Utility Models & Prospect Theory)
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