通过接受与拒绝比较风险

Comparing Risks by Acceptance and Rejection

Journal of Political Economy · 2011
被引 64
人大 A+FT50ABS 4*

中文导读

提出两种新的随机序(财富一致占优和效用一致占优),它们能比较任意两个赌局,且分别等价于Aumann-Serrano风险指数和Foster-Hart风险度量。

Abstract

Stochastic dominance is a partial order on risky assets ("gambles") that is based on the uniform preference--of all decision-makers in an appropriate class--for one gamble over another. We modify this requirement, first, by taking into account the status quo (given by the current wealth) and the possibility of rejecting gambles, and second, by comparing rejections that are substantive (i.e., uniform over wealth levels or over utilities). This yields two new stochastic orders: "wealth-uniform dominance" and "utility-uniform dominance." Unlike stochastic dominance, these two orders are complete: any two gambles can be compared. Moreover, they are equivalent to the orders induced by, respectively, the Aumann-Serrano index of riskiness and the Foster-Hart measure of riskiness.

随机占优财富一致占优效用一致占优风险度量