Stochastic Dominance for the Class of Completely Monotonic Utility Functions
According to the expected utility axioms, a decision maker with utility function u(x) for wealth x assigns the following subjective value to an uncertain prospect with cumulative distribution function F(x).
It is assumed here that wealth level x is positive and that prospect F has moments of all orders.
$$ E(u;F) = \smallint _0^\infty u(x)dF(x) $$
KeywordsUtility Function Stochastic Dominance Extremal Function Absolute Risk Aversion Convex Linear Combination
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