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Market behavior when preferences are generated by second-order stochastic dominance

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  • Dana, R. A.

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  • Dana, R. A., 2004. "Market behavior when preferences are generated by second-order stochastic dominance," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 619-639, September.
    • Handle: RePEc:eee:mateco:v:40:y:2004:i:6:p:619-639
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    References listed on IDEAS

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    1. Dybvig, Philip H, 1988. "Distributional Analysis of Portfolio Choice," The Journal of Business, University of Chicago Press, vol. 61(3), pages 369-393, July.
    2. Christian Gollier & Harris Schlesinger, 1996. "Arrow's theorem on the optimality of deductibles: A stochastic dominance approach (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 7(2), pages 359-363.
    3. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-1546, November.
    4. Atkinson, Anthony B., 1970. "On the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 2(3), pages 244-263, September.
    5. Peleg, Bezalel, 1975. "Efficient random variables," Journal of Mathematical Economics, Elsevier, vol. 2(2), pages 243-252.
    6. Zilcha, Itzhak & Chew, Soo Hong, 1990. "Invariance of the efficient sets when the expected utility hypothesis is relaxed," Journal of Economic Behavior & Organization, Elsevier, vol. 13(1), pages 125-131, January.
    7. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    8. Chongmin Kim, 1998. "Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(2), pages 341-356.
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    Citations

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    Cited by:

    1. Carlier, G. & Dana, R.-A. & Galichon, A., 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Journal of Economic Theory, Elsevier, vol. 147(1), pages 207-229.
    2. Ghossoub, Mario, 2015. "Vigilant measures of risk and the demand for contingent claims," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 27-35.
    3. Guillaume Carlier & Rose-Anne Dana, 2013. "Pareto optima and equilibria when preferences are incompletely known," Post-Print hal-00661903, HAL.
    4. Guillaume Carlier & Rose-Anne Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," SciencePo Working papers Main hal-01053549, HAL.
    5. Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics.
    6. Carlier, G. & Dana, R.-A., 2013. "Pareto optima and equilibria when preferences are incompletely known," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1606-1623.
    7. Grigorova Miryana, 2014. "Stochastic orderings with respect to a capacity and an application to a financial optimization problem," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 1-31, June.
    8. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
    9. G. Carlier & R.-A. Dana & R.-A. Dana, 2014. "Pareto optima and equilibria when preferences are incompletely known," Working Papers 2014-60, Department of Research, Ipag Business School.
    10. Guillaume Carlier & Rose-Anne Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," SciencePo Working papers hal-01053549, HAL.
    11. Rose‐Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 613-634, October.
    12. Mario Ghossoub, 2015. "Equimeasurable Rearrangements with Capacities," Mathematics of Operations Research, INFORMS, vol. 40(2), pages 429-445, February.
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    14. repec:hal:spmain:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
    15. Ghossoub, Mario, 2011. "Monotone equimeasurable rearrangements with non-additive probabilities," MPRA Paper 37629, University Library of Munich, Germany, revised 23 Mar 2012.
    16. Mandler, Michael, 2014. "Indecisiveness in behavioral welfare economics," Journal of Economic Behavior & Organization, Elsevier, vol. 97(C), pages 219-235.
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