TY - JOUR
A2 - Wang, Guangchen
AU - Xiao, Xinling
PY - 2014
DA - 2014/08/31
TI - Stochastic Dominance under the Nonlinear Expected Utilities
SP - 713738
VL - 2014
AB - In 1947, von Neumann and Morgenstern introduced the well-known expected utility and the related axiomatic system (see von Neumann and Morgenstern (1953)). It is widely used in economics, for example, financial economics. But the well-known Allais paradox (see Allais (1979)) shows that the linear expected utility has some limitations sometimes. Because of this, Peng proposed a concept of nonlinear expected utility (see Peng (2005)). In this paper we propose a concept of stochastic dominance under the nonlinear expected utilities. We give sufficient conditions on which a random choice X stochastically dominates a random choice Y under the nonlinear expected utilities. We also provide sufficient conditions on which a random choice X strictly stochastically dominates a random choice Y under the sublinear expected utilities.
SN - 1024-123X
UR - https://doi.org/10.1155/2014/713738
DO - 10.1155/2014/713738
JF - Mathematical Problems in Engineering
PB - Hindawi Publishing Corporation
KW -
ER -