Bivariate Almost Stochastic Dominance

Denuit, Michel;Huang, Rachel;Tzeng, Larry
(2013) , 24 pages

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Authors
  • Denuit, MichelUCLouvain
    Author
  • Huang, RachelNational Taiwan University of Science and Technology, Taiwan
    Author
  • Tzeng, LarryNational Taiwan University, Taiwan
    Author
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 pa- per 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 conned 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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Denuit, M., Huang, R., & Tzeng, L. (2013). Bivariate Almost Stochastic Dominance (ISBA Discussion Paper 2013/02). https://hdl.handle.net/2078.5/207711