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Extension of stochastic dominance theory to random variables
Chi-Kwong Li, Wing-Keung Wong
Journal:

RAIRO - Operations Research / Volume 33 / Issue 4 / October 1999

Published online by Cambridge University Press:

15 August 2002, pp. 509-524

Print publication:

October 1999
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In this paper, we develop some stochastic dominancetheorems for the location and scale family and linear combinations ofrandom variables and for risk lovers as well as risk averters thatextend results in Hadar and Russell (1971) and Tesfatsion (1976). Theresults are discussed and applied to decision-making.