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Multivariate decisions with unknown price vector

Author

Listed:
  • Marco Scarsini

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique, Dipartimento di Scienze Economiche e Aziendali - LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma])

  • Pietro Muliere

Abstract

We consider a class of decision makers who have to choose among different random bundles of commodities. It is assumed that they maximize expected utility, and their utility functions depend only on the monetary value of the bundles of commodities. Stochastic dominance conditions are provided when the price vector is assumed unknown. Risk aversion and constraints on the price vectors are considered as particular cases. The results are compared with other approaches to multivariate decisions.

Suggested Citation

  • Marco Scarsini & Pietro Muliere, 1989. "Multivariate decisions with unknown price vector," Post-Print hal-00542137, HAL.
    • Handle: RePEc:hal:journl:hal-00542137
    DOI: 10.1016/0165-1765(89)90166-3
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    Cited by:

    1. Alfred Müller & Marco Scarsini, 2001. "Stochastic Comparison of Random Vectors with a Common Copula," Mathematics of Operations Research, INFORMS, vol. 26(4), pages 723-740, November.
    2. Marco Scarsini & Moshe Shaked, 1990. "Some conditions for stochastic equality," Naval Research Logistics (NRL), John Wiley & Sons, vol. 37(5), pages 617-625, October.
    3. Karl Mosler, 2023. "Representative endowments and uniform Gini orderings of multi-attribute welfare," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 21(1), pages 233-250, March.
    4. Amiri, Mehdi & Izadkhah, Salman & Jamalizadeh, Ahad, 2020. "Linear orderings of the scale mixtures of the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 179(C).

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