A note on relative efficiency and risk aversion

Jacob Paroush

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


Stochastic dominance rules have recently been suggested as criteria for efficient choice under uncertainty. However, the aspect of relative efficiency has been neglected, i.e., given any specific utility function u0, find the conditions imposed on F and G such that EFu≧EGu for all u ε{lunate} U (u0), where U(u0)={u| - u′/u′ ≥ - u″0/u′0}. This note suggests a necessary and sufficient condition for relative efficiency in the case that F and G cross other only once. Some applications are discussed.

Original languageEnglish
Pages (from-to)277-280
Number of pages4
JournalJournal of Banking and Finance
Issue number2
StatePublished - Jun 1981


Dive into the research topics of 'A note on relative efficiency and risk aversion'. Together they form a unique fingerprint.

Cite this