## 36 Citations

Local Utility and Multivariate Risk Aversion

- Economics
- 2012

We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for non-expected utility maximizers choosing between…

Local Utility and Multivariate Risk Aversion

- Economics
- 2012

We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for non-expected utility maximizers choosing between…

Local Utility and Multivariate Risk Aversion

- EconomicsMath. Oper. Res.
- 2016

It is shown that for nonexpected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to the concavity of the local utility functions, thereby generalizing Machina's result in [18].

Pareto efficiency for the concave order and multivariate comonotonicity

- EconomicsJ. Econ. Theory
- 2012

Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions

- Economics, Computer ScienceArXiv
- 2018

This paper considers ambiguity in choice functions over a multi-attribute prospect space and proposes two approaches based respectively on the support functions and level functions of quasi-concave functions to develop tractable formulations of the maximin preference robust optimization model.

Stochastic dominance for law invariant preferences: The happy story of elliptical distributions

- Economics
- 2012

We study the connections between stochastic dominance and law invariant preferences. Whenever the functional that represents preferences depends only on the law of the random variable, we shall look…

Preference Robust Optimization for Quasi-concave Choice Functions

- Economics, Computer Science
- 2020

This paper proposes a PRO model to support choice functions that are monotonic, quasi-concave, and multi-attribute (have multiple objectives/criteria), and shows that the robust choice function can be constructed efficiently by solving a sequence of linear programming problems.

Conic Portfolio Theory

- Economics
- 2015

Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an…

The Microeconomics of Choice under Risk and Uncertainty: Where Are We?

- Economics
- 2014

Financial decision-making is not straightforward, in part, because such decisions generally involve comparing financial assets the payoffs from which are subject to risk and uncertainty. Given that…

Multidimensional inequalities and generalized quantile functions

- Mathematics, Economics
- 2020

In this paper, we extend the generalized Yaari’s dual theory for multidimensional distributions, in the vein of Galichon and Henry’s paper (Galichon and Henry in J Econ Theory 147:1501–1516, 2012).…

## References

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- Economics
- 1987

This paper investigates the consequences of the following modification of Expected Utility theory: instead of requiring independence with respect to probability mixtures of risky prospects, require…

COMONOTONIC MEASURES OF MULTIVARIATE RISKS

- Mathematics
- 2012

We propose a multivariate extension of a well‐known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion…

Pareto efficiency for the concave order and multivariate comonotonicity

- EconomicsJ. Econ. Theory
- 2012

Under stochastic dominance Choquet-expected utility and anticipated utility are identical

- Economics
- 1990

The aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982, 1989) for decision making under uncertainty, when formulated for decision making under…

Dominance Conditions for Multivariate Utility Functions

- Mathematics
- 1988

Stochastic dominance conditions are given for n-variate utility functions, when k-variate risk aversion is assumed for k = 1, 2, ', n. These conditions are expressed through a comparison of…

Multivariate Risk Aversion, Utility Independence and Separable Utility Functions

- Economics
- 1975

This paper concerns utility functions for more than one attribute. A new type of risk aversion found only in muitivariate utility functions is defined. Certain behavioral assumptions, which are…

The Comparison of Multi-Dimensioned Distributions of Economic Status

- Economics
- 1982

The literature on inequality measurement has been largely concerned with single-dimensioned indicators. This paper explores some of the issues which arise when there are several dimensions to…

The Normative Approach to the Measurement of Multidimensional Inequality

- Economics
- 2004

This article provides an introduction to the normative approach to multidimensional inequality measurement. Multivariate generalizations of the procedures used to construct univariate inequality…

Multidimensional inequality and multidimensional generalized entropy measures: An axiomatic derivation

- Economics
- 1999

Abstract. This paper generalizes the axiomatic approach to the design of income inequality measures to the multiattribute context. While the extension of most axioms considered desirable for…