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Comparing risks with reference points: A stochastic dominance approach

文献类型：期刊论文

作者Guo, Dongmei1; Hu, Yi2; Wang, Shouyang3; Zhao, Lin3
刊名INSURANCE MATHEMATICS & ECONOMICS
出版日期2016-09-01
卷号70页码:105-116
关键词Stochastic dominance Reference point Loss aversion Downside risk Allais-type anomalies Endowment effect for risk
ISSN号0167-6687
DOI10.1016/j.insmatheco.2016.05.003
英文摘要This paper develops a stochastic dominance rule for the reference-dependent utility theory proposed by Koszegi and Rabin (2007). The new ordering captures the effects of loss aversion and can be used as a semi parametric approach in the comparison of risks with reference points. It is analytically amenable and possesses a variety of intuitively appealing properties, including the abilities to identify both "increase in risk" and "increase in downside risk", to resolve the Allais-type anomalies, to capture the violation of translational invariance and scaling invariance, and to accommodate the endowment effect for risk. The generalization to third-order dominance reveals that loss aversion can either reinforce or weaken prudence, depending on the location of the reference point. Potential applications of the new ordering in financial contexts are briefly discussed. (C) 2016 Published by Elsevier B.V.
资助项目National Science Foundation of China (NSFC)[71301161] ; National Science Foundation of China (NSFC)[71532013] ; National Science Foundation of China (NSFC)[71301160] ; National Science Foundation of China (NSFC)[71301173] ; Program for Innovation Research in Central University of Finance and Economics
WOS研究方向Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种英语
WOS记录号WOS:000383828200009
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/23430]  
专题系统科学研究所
通讯作者Zhao, Lin
作者单位1.Cent Univ Finance & Econ, Sch Econ, Beijing 100081, Peoples R China
2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Guo, Dongmei,Hu, Yi,Wang, Shouyang,et al. Comparing risks with reference points: A stochastic dominance approach[J]. INSURANCE MATHEMATICS & ECONOMICS,2016,70:105-116.
APA Guo, Dongmei,Hu, Yi,Wang, Shouyang,&Zhao, Lin.(2016).Comparing risks with reference points: A stochastic dominance approach.INSURANCE MATHEMATICS & ECONOMICS,70,105-116.
MLA Guo, Dongmei,et al."Comparing risks with reference points: A stochastic dominance approach".INSURANCE MATHEMATICS & ECONOMICS 70(2016):105-116.

入库方式： OAI收割

来源：数学与系统科学研究院

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