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Preferences over location-scale family. (English) Zbl 1147.91042
On the basis of studies due to Meyer, Linn and Levy, the authors extend some results on location-scale (LS) family with general \(n\) random seed sources.
First, the above cited studies are recalled and developed on (LS) expected utility functions to a general \(n\) dimensional structure, focusing on topological properties of indifference curves induced by a LS expected utility function. After the investigation of an inverse problem connected to the representation of such utility functions, the authors introduce a general class of non-expected utility functions. Moreover partial orders and dominance relationships are investigated within the LS family, whose particular cases are the first and second order stochastic dominances, the mean-variance dominance as well as a specific LS dominance criterion.

MSC:
91B70 Stochastic models in economics
91B16 Utility theory
91B28 Finance etc. (MSC2000)
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