DOMINANCE AXIOMS AND MULTIVARIATE NONEXPECTED UTILITY PREFERENCES

This paper deals with nonexpected utility preferences over multivariat e distributions. We present two equivalent dominance axioms, implying an additively separable structure of the local utility functions. They also imply that nonexpected utility functionals directly depend on th e marginals of the multivariate distributions. We define an invariance axiom, show that it is equivalent to the property that all local util ity functions are ordinally equivalent, and that it implies an additiv ely separable expected utility functional when the dominance axiom is assumed. An interesting property of multivariate preferences is that r isk neutrality does not imply affinity of the utility function over no nstochastic outcomes.