Multivariate decision-making under risk aversion
New multivariate stochastic dominance rules are developed for the class of all risk averse decision-makers. The results are interesting for two reasons. First, they provide a direct extension of the first-order multivariate dominance criteria of \textit{D. Levhari}, \textit{J. P. Paroush} and \textit{B. Peleg} [Rev. Econ. Stud. 42, 87-91 (1975; Zbl 0347.60016)] to the case of risk averse decision-makers. Second, the presented results illustrate how second-order stochastic dominance rules involve an explicit separation of preferences over commodity bundles from attitudes toward risk. The proposed approach is an alternative to that of \textit{W. R. Russel} and \textit{T. K. Seo} [Rev. Econ. Stud. 45, 605-610 (1978; Zbl 0431.90012)].
scientific article; zbMATH DE number 4139427
scientific article