https://scholars.lib.ntu.edu.tw/handle/123456789/612069
標題: | Fractional Degree Stochastic Dominance | 作者: | Huang, RJ Larry Yu Ren Tzeng Zhao, L |
關鍵字: | stochastic dominance; risk aversion; risk lovingness; higher-order risk preferences; risk taking; RISK-AVERSION; COMPARATIVE STATICS; UTILITY; INDEX; PREFERENCES; PRUDENCE | 公開日期: | 2020 | 出版社: | INFORMS | 卷: | 66 | 期: | 10 | 起(迄)頁: | 4630-4647 | 來源出版物: | MANAGEMENT SCIENCE | 摘要: | We develop a continuum of stochastic dominance rules for expected utility maximizers. The new rules encompass the traditional integer-degree stochastic dominance; between adjacent integer degrees, they formulate the consensus of individuals whose absolute risk aversion at the corresponding integer degree has a negative lower bound. By extending the concept of "uniform risk aversion"previously proposed in the literature to high-order risk preferences, we interpret the fractionalized degree parameter as a benchmark individual relative to whom all considered individuals are uniformly no less risk averse in the lottery choices. The equivalent distribution conditions for the newrules are provided, and the fractional degree "increase in risk"is defined. We generalize the previously defined notion of "risk apportionment"and demonstrate its usefulness in characterizing comparative statics of risk changes in fractional degrees. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/612069 | ISSN: | 0025-1909 | DOI: | 10.1287/mnsc.2019.3406 |
顯示於: | 財務金融學系 |
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