多元几乎随机占优

Multivariate Almost Stochastic Dominance

Journal of Risk & Insurance · 2017
被引 11
ABS 3

中文导读

提出了多元几乎随机占优和多元几乎n阶风险的概念,并建立其与“好坏搭配”偏好的联系,进而用于推导比较静态结果,还扩展到了风险偏好型随机占优。

Abstract

Abstract 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. We present the concepts of multivariate almost stochastic dominance and multivariate almost n th‐degree risk and their connections with a preference for combining good with bad. Then, we show how a preference for combining good with bad can be applied to obtain various comparative statics results, and we extend our approach to risk‐prone (convex) stochastic dominance, which relates to the opposite preference, for combining good with good and bad with bad.

随机占优比较静态分析多元统计风险偏好微观经济学