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Almost stochastic dominance under inconsistent utility and loss functions

  • Chunling Luo (a1), Zhou He (a1) and Chin Hon Tan (a1)
Abstract

Current literature on stochastic dominance assumes utility/loss functions to be the same across random variables. However, decision models with inconsistent utility functions have been proposed in the literature. The use of inconsistent loss functions when comparing between two random variables can also be appropriate under other problem settings. In this paper we generalize almost stochastic dominance to problems with inconsistent utility/loss functions. In particular, we propose a set of conditions that is necessary and sufficient for clear preferences when the utility/loss functions are allowed to vary across different random variables.

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Corresponding author
* Postal address: Department of Industrial & Systems Engineering, National University of Singapore, Singapore.
** Email address: c_luo@u.nus.edu
*** Email address: hezhou@nus.edu.sg
**** Email address: isetch@nus.edu.sg
References
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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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