加权效用与乐观/悲观:各种随机占优序的决策理论基础

Weighted Utility and Optimism/Pessimism: A Decision-Theoretic Foundation of Various Stochastic Dominance Orders

American Economic Journal: Microeconomics · 2024
被引 2
人大 AABS 3

中文导读

证明,概率分布的似然比占优等价于所有加权效用函数偏好前者;而风险率占优(或逆风险率占优)则等价于所有乐观(或悲观)决策者偏好前者。

Abstract

We show that a probability distribution likelihood ratio dominates another distribution if and only if, for every weighted utility function, the former is preferred over the latter. Likewise, a probability distribution hazard rate (or reverse hazard rate) dominates another distribution if and only if, the former is preferred by every optimistic (or pessimistic) decision maker.

加权效用随机占优似然比占优乐观悲观决策者