Fractional Degree Stochastic Dominance

doi:10.1287/mnsc.2019.3406

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	Fractional Degree Stochastic Dominance
	Huang, Rachel J.1,2,3; Tzeng, Larry Y.2,3,4; Zhao, Lin 5
	2020-10-01
发表期刊	MANAGEMENT SCIENCE
ISSN	0025-1909
卷号	66 期号:10 页码:4630-4647
摘要	We develop a continuum of stochastic dominance rules for expected utility maximizers. The new rules encompass the traditional integer-degree stochastic dominance; between adjacent integer degrees, they formulate the consensus of individuals whose absolute risk aversion at the corresponding integer degree has a negative lower bound. By extending the concept of "uniform risk aversion" previously proposed in the literature to high-order risk preferences, we interpret the fractionalized degree parameter as a benchmark individual relative to whom all considered individuals are uniformly no less risk averse in the lottery choices. The equivalent distribution conditions for the newrules are provided, and the fractional degree "increase in risk" is defined. We generalize the previously defined notion of "risk apportionment" and demonstrate its usefulness in characterizing comparative statics of risk changes in fractional degrees.
关键词	stochastic dominance risk aversion risk lovingness higher-order risk preferences risk taking
DOI	10.1287/mnsc.2019.3406
收录类别	SCI
语种	英语
资助项目	Center for Research in Econometric Theory and Applications from the Featured Areas Research Center Program within the Ministry of Education in Taiwan[107L9002] ; Ministry of Science and Technology in Taiwan[MOST107-3017-F-002-004] ; E.SUN Bank ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences ; National Natural Science Foundation of China[71871212] ; National Natural Science Foundation of China[71532013]
WOS研究方向	Business & Economics ; Operations Research & Management Science
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000577435100015
出版者	INFORMS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52374
专题	中国科学院数学与系统科学研究院
通讯作者	Huang, Rachel J.
作者单位	1.Natl Cent Univ, Dept Finance, Taoyuan 32001, Taiwan 2.Natl Taiwan Univ, Ctr Res Econometr Theory & Applicat, Taipei 10617, Taiwan 3.Natl Chengchi Univ, Risk & Insurance Res Ctr, Taipei 11605, Taiwan 4.Natl Taiwan Univ, Dept Finance, Taipei 10617, Taiwan 5.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Huang, Rachel J.,Tzeng, Larry Y.,Zhao, Lin. Fractional Degree Stochastic Dominance[J]. MANAGEMENT SCIENCE,2020,66(10):4630-4647.
APA	Huang, Rachel J.,Tzeng, Larry Y.,&Zhao, Lin.(2020).Fractional Degree Stochastic Dominance.MANAGEMENT SCIENCE,66(10),4630-4647.
MLA	Huang, Rachel J.,et al."Fractional Degree Stochastic Dominance".MANAGEMENT SCIENCE 66.10(2020):4630-4647.