Fractional degree stochastic dominance

Rachel J. Huang, Larry Y. Tzeng, Lin Zhao

研究成果: 雜誌貢獻期刊論文同行評審

13 引文 斯高帕斯(Scopus)

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.

原文???core.languages.en_GB???
頁(從 - 到)4630-4647
頁數18
期刊Management Science
66
發行號10
DOIs
出版狀態已出版 - 10月 2020

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