Stochastic Dominance and Expected Utility: Survey and Analysis

Abstract

While Stochastic Dominance has been employed in various forms as early as 1932, it has only been since 1969–1970 that the notion has been developed and extensively employed in the area of economics, finance, agriculture, statistics, marketing and operations research. In this survey, the first-, second- and third-order stochastic dominance rules are discussed with an emphasis on the development in the area since the 1980s.