Research

Home -> Research -> Publications -> Content

Research

Preferences over Location-scale Family

Id：2086 Date：20131014 Status：published ClickTimes：
作者Wing-Keung Wong, Chenghu Ma
正文This paper extends the work on location-scale (LS) family with general n random seed sources. First, we clarify and generalize existing results in this multivariate setting. Some useful geometrical and topological properties of the location-scale expected utility functions are obtained. Second, we introduce and study some general non-expected utility functions defined over the LS family. Special care is taken in characterizing the shapes of the indifference curves induced by the location-scale expected utility functions and non-expected utility functions. Finally, efforts are also made to study several well-defined partial orders and dominance relations defined over the LS family. These include the first- and second-order stochastic dominances, the mean-variance rule, and a newly defined location-scale dominance.
JEL-Codes：G11,C60,G10
关键词：Location-scale family,Inverse problem,Non-expected utility function, Stochastic dominance, Location-scale dominance, Mean-variance rule
TOP