Generalized stochastic dominance and bad outcome aversion
نویسندگان
چکیده
منابع مشابه
Generalized stochastic dominance and bad outcome aversion
Incomplete preferences over lotteries on a finite set of alternatives satisfying, besides independence and continuity, a property called bad outcome aversion are considered. These preferences are characterized in terms of their specific multi-expected utility representations (cf. Dubra et al., 2004), and can be seen as generalized stochastic dominance preferences. JEL-classification: C0, D0
متن کاملStochastic Dominance and Absolute Risk Aversion
In this paper we propose the inÞmum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing concave utility functions with at least as much global risk aversion would rank the two distributions in...
متن کاملUtility Maximization, Risk Aversion, and Stochastic Dominance
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that high risk aversion leads to a rather concentrated distribution, whereas lower risk aversion results in a higher average payoff at the expense of a more widesp...
متن کاملGeneralized Almost Stochastic Dominance
Almost stochastic dominance allows small violations of stochastic dominance rules to avoid situations where most decision makers prefer one alternative to another but stochastic dominance cannot rank them. However, the commonly used integral condition for almost seconddegree stochastic dominance does not map into the corresponding classes of increasing concave utility functions with bounded der...
متن کاملRisk Aversion and Stochastic Dominance: A Revealed Preference Approach
Theoretically, given a choice over two risky assets with equivalent expected returns, a risk averse expected utility maximizer should choose the second-order stochastically dominant asset. We develop a theoretical framework that allows for decision error, which should decrease in risk aversion. We conduct an experiment using a risk preference elicitation mechanism to identify risk averse indivi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Social Choice and Welfare
سال: 2010
ISSN: 0176-1714,1432-217X
DOI: 10.1007/s00355-010-0441-1