For mutually exclusive investments or portfolio choices with normally distributed returns, we show that all elements of the second-order stochastic dominance admissible choice set are elements of the optimal or minimally efficient set. (That is, these elements will be chosen by some investor manifesting non-satiation and risk aversion.) This result helps clarify the relation between mean-varian...

We consider the problem of optimal decision making under uncertainty but assume that the decision maker’s utility function is not completely known. Instead, we consider all the utilities that meet some criteria, such as preferring certain lotteries over certain other lotteries and being risk averse, s-shaped, or prudent. This extends the notion of stochastic dominance. We then give tractable fo...

Economic evaluation of climate policy has become mired in a debate about appropriate time and risk preferences, since reducing greenhouse gas emissions today has a highly uncertain pay-off, far into the future. Rather than occupy a position in this debate, we take a non-parametric approach here, based on the concept of Time-Stochastic Dominance. Using an integrated assessment model, we apply Ti...