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Fractional Degree Stochastic Dominance

文献类型：期刊论文

作者Huang, Rachel J.1,2,5; Tzeng, Larry Y.1,2,3; Zhao, Lin4
刊名MANAGEMENT SCIENCE
出版日期2020-10-01
卷号66期号:10页码:4630-4647
关键词stochastic dominance risk aversion risk lovingness higher-order risk preferences risk taking
ISSN号0025-1909
DOI10.1287/mnsc.2019.3406
英文摘要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.
资助项目Center for Research in Econometric Theory and Applications from the Featured Areas Research Center Program within the Ministry of Education in Taiwan[107L9002] ; Ministry of Science and Technology in Taiwan[MOST107-3017-F-002-004] ; E.SUN Bank ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences ; National Natural Science Foundation of China[71871212] ; National Natural Science Foundation of China[71532013]
WOS研究方向Business & Economics ; Operations Research & Management Science
语种英语
WOS记录号WOS:000577435100015
出版者INFORMS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/52373]  
专题中国科学院数学与系统科学研究院
通讯作者Huang, Rachel J.
作者单位1.Natl Taiwan Univ, Ctr Res Econometr Theory & Applicat, Taipei 10617, Taiwan
2.Natl Chengchi Univ, Risk & Insurance Res Ctr, Taipei 11605, Taiwan
3.Natl Taiwan Univ, Dept Finance, Taipei 10617, Taiwan
4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
5.Natl Cent Univ, Dept Finance, Taoyuan 32001, Taiwan
推荐引用方式
GB/T 7714		 Huang, Rachel J.,Tzeng, Larry Y.,Zhao, Lin. Fractional Degree Stochastic Dominance[J]. MANAGEMENT SCIENCE,2020,66(10):4630-4647.
APA Huang, Rachel J.,Tzeng, Larry Y.,&Zhao, Lin.(2020).Fractional Degree Stochastic Dominance.MANAGEMENT SCIENCE,66(10),4630-4647.
MLA Huang, Rachel J.,et al."Fractional Degree Stochastic Dominance".MANAGEMENT SCIENCE 66.10(2020):4630-4647.

入库方式： OAI收割

来源：数学与系统科学研究院

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