期望效用的最佳上下切比雪夫界

Best Upper and Lower Tchebycheff Bounds on Expected Utility

Review of Economic Studies · 1990
被引 8
人大 A+FT50ABS 4*

中文导读

当分布偏斜时,利用已知的前三阶矩推导期望效用的上下界,对经济学和决策分析中的风险评估有用。

Abstract

It is useful to have bounds on expected utility in situations in which the relevant distribution is skewed. This paper assumes that the third moment of the distribution is known and uses knowledge of the first three moments to derive upper and lower Tchebycheff bounds.

切比雪夫不等式期望效用三阶矩偏态分布