RISK‐RETURN ANALYSIS WITH PARTICULAR ATTENTION TO LARGE LOSSES AND SATISFACTORY GAINS
提出一个通用风险收益模型，增强了两属性风险选择模型的规范性和描述性吸引力，与冯·诺依曼-摩根斯坦期望效用理论完全兼容，并可通过偏好数据简单估计风险与收益度量。
ABSTRACT This paper presents a general risk‐return model that enhances the prescriptive and descriptive appeal of two‐attribute risky choice models. Conceptually, this model is fully compatible with Von Neumann‐Morgenstern expected‐utility theory. This compatibility is largely retained with simple forms of risk and return measures that are easy to estimate from preference data. A dominance version of the model yields subsets of efficient alternatives associated with stochastic dominance relationships.