Stochastic Dominance for the Class of Completely Monotonic Utility Functions

  • G. A. Whitmore


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).
$$ E(u;F) = \smallint _0^\infty u(x)dF(x) $$
It is assumed here that wealth level x is positive and that prospect F has moments of all orders.


Utility Function Stochastic Dominance Extremal Function Absolute Risk Aversion Convex Linear Combination 
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Copyright information

© Springer-Verlag New York Inc. 1989

Authors and Affiliations

  • G. A. Whitmore
    • 1
  1. 1.McGill UniversityMontrealCanada

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