One lottery over a vector outcome space is said to be riskier than another if every risk averse decision-maker prefers the latter to the former. We consider two other criteria for making such comparisons, one of which is a generalization of second-order stochastic dominance. Our main result is...

The basic axioms or formal conditions of decision theory, especially the ordering condition put on preferences and the axioms underlying the expected utility (EU) formula, are subject to a number of counter-examples, some of which can be endowed with normative value and thus fall within the...

Stochastic independence (SI) has a complex status in probability theory. It is not part of the definition of a probability measure, but it is nonetheless an essential property for the mathematical development of this theory, hence a property that any theory on the foundations of probability...

In this article, the author presents a model of distributional properties of returns on financial instruments tied to ETFs via high-frequency statistical arbitrage. As the author's model shows, the securities subject to an ETF arbitrage exhibit a well-defined behavior, largely dependent on the...

We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker’s attitudes toward uncertainty. We obtain a characterization of comparative uncertainty...

The focus of this study is on black markets which provide an important segment of the parallel economy. These markets operate in disequilibrium,search and information costs become very important.Trafficking in drugs taken as case, to explore both theoretically and empirically. The problem,...

We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker's attitudes toward uncertainty. We obtain a characterization of comparative uncertainty...

Dana Scott provides a necessary and sufficient condition for a given probability capacity can be decomposed into a unique additive probability and a unique strictly increasing distortion function. Given this result, we characterize a family of preferences defined over the lottery acts (the...

Pratt (1964) and Yaari (1969) contain the classical results pertaining to the equivalence of various notions of comparative risk aversion of von Neumann-Morgenstern utilities in the setting with real-valued outcomes. Some of these results have been extended to the setting with outcomes in n ....

We consider a decision-making environment with an outcome space that is a convex and compact subset of a vector space belonging to a general class of such spaces. Given this outcome space, we de¯ne gen- eral classes of (a) risk averse von Neumann-Morgenstern utility func- tions de¯ned over the...