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Modelling agents’ preferences in complete markets by second order stochastic dominance

Dana, Rose-Anne; Meilijson, Isaac (2003), Modelling agents’ preferences in complete markets by second order stochastic dominance. https://basepub.dauphine.fr/handle/123456789/6105

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Type
Document de travail / Working paper
Date
2003
Publisher
Université Paris-Dauphine
Series title
Cahiers du CEREMADE
Series number
2003-33
Published in
Paris
Pages
27
Metadata
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Author(s)
Dana, Rose-Anne
Meilijson, Isaac
Abstract (EN)
A theory of individual decision and a general equilibrium theory in complete markets are provided, for the case of infinite state space when incomplete preferences are modelled by second order stochastic dominance (SSD). While, unlike the situation in the finite state space case, the demand of a strictly SSD averse agent may not be implementable as a vNM demand nor an SSD equilibrium as a vNM equilibrium, the set of Pareto-optimal allocations for SSD coincides, as in the finite state space case, with the set of Pareto-optimal allocations when agents are EU maximizers with increasing strictly concave utility indices.SSD is also used to give microfoundations to law-invariant risk measures.
Subjects / Keywords
Second order stochastic dominance; comonotone risk sharing; Law-invariant risk measures
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
D53 - Financial Markets
D81 - Criteria for Decision-Making under Risk and Uncertainty

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