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2013•RePEc: Research Papers in EconomicsOpen access

Bivariate Almost Stochastic Dominance

Michel M. Denuit, Rachel J. Huang, Larry Y. Tzeng

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Abstract

Univariate almost stochastic dominance has been widely studied and applied since introduced by Leshno and Levy (2002).This paper extends the rule to the bivariate case.We generalize the setting by adopting two-attribute utility functions.This paper first confines correlation aversion and correlation loving to some acceptable levels.We respectively investigate bivariate almost stochastic dominance 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 also analyzed as an application.

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Univariate almost stochastic dominance has been widely studied and applied since introduced by Leshno and Levy (2002).This paper extends the rule to the bivariate case.We generalize the setting by adopting two-attribute utility functions.This paper first confines correlation aversion and correlation loving to some acceptable levels.We respectively investigate bivariate almost stochastic dominance 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 also analyzed as an application.

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Available abstract

Univariate almost stochastic dominance has been widely studied and applied since introduced by Leshno and Levy (2002).This paper extends the rule to the bivariate case.We generalize the setting by adopting two-attribute utility functions.This paper first confines correlation aversion and correlation loving to some acceptable levels.We respectively investigate bivariate almost stochastic dominance 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 also analyzed as an application.

Key concepts: Bivariate analysis, Stochastic dominance, Dominance (genetics), Univariate, Econometrics, Economics, Mathematics, Correlation

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