Apportioning of risks via stochastic dominance

DOI10.1016/J.JET.2008.11.005MaRDI QIDQ1017779zbMATHOpenAlexFDO

Authors Harris Schlesinger, Ilia Tsetlin, Louis Eeckhoudt

Publication date 12 May 2009

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://www.cesifo.org/DocDL/cesifo1_wp2467.pdf

zbMATH Keywords

stochastic dominancerisk aversionprudencerisk apportionmentdownside risktemperanceprecautionary effects

Mathematics Subject Classification ID

Decision theory (91B06)

Recommendations

• Risk apportionment via bivariate stochastic dominance
• Another look at risk apportionment
• Dominanza stocastica con avversione al rischio
• New results for additive and multiplicative risk apportionment
• Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance

Cites work

• A Class of Utility Functions Containing all the Common Utility Functions
• Increasing outer risk
• On the precautionary motive for savings and prudence in the rank-dependent utility framework
• Proper Risk Aversion
• Proper prudence, standard prudence and precautionary vulnerability
• Risk Vulnerability and the Tempering Effect of Background Risk
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• The Efficiency Analysis of Choices Involving Risk
• Violations of cumulative prospect theory in mixed gambles with moderate probabilities

Cited in

(42)

• Risk apportionment: the dual story
• Risk aversion with two risks: a theoretical extension
• Increases in risk and demand for a risky asset
• Changes in risk and strategic interaction
• New results on the relationship among risk aversion, prudence and temperance
• Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance
• Dual moments and risk attitudes
• New results for additive and multiplicative risk apportionment
• Second order of stochastic dominance efficiency vs mean variance efficiency
• Precautionary risk-reduction and saving decisions: two sides of the same coin?
• Stochastic dominance: convexity and some efficiency tests
• Risk apportionment via bivariate stochastic dominance
• On ambiguity apportionment
• Multivariate concave and convex stochastic dominance
• The non-integer higher-order stochastic dominance
• Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes
• Stochastic dominance in multicriterion analysis under risk
• A general theory of risk apportionment
• The value of risk reduction: new tools for an old problem
• A note on risky targets and effort
• Another look at risk apportionment
• On the predictions of cumulative prospect theory for third and fourth order risk preferences
• Precautionary self-insurance-cum-protection
• Greater Arrow-Pratt (absolute) risk aversion of higher orders
• Generalized almost stochastic dominance
• Stronger measures of higher-order risk attitudes
• Preferences on discounting under time risk
• On temperance and risk spreading
• Increasing \(N\)th degree inequality
• Risk apportionment and multiply monotone targets
• Higher-order risk vulnerability
• New results on high-order risk changes
• The monetary utility premium and interpersonal comparisons
• A stochastic dominance approach to financial risk management strategies
• Some conditions for the equivalence between risk aversion, prudence and temperance
• Variance stochastic orders
• On relative and partial risk attitudes: theory and implications
• Comparing risks with reference points: a stochastic dominance approach
• Multiplicative risk apportionment
• Optimal multivariate financial decision making
• Decision making when things are only a matter of time
• Risk aversion, downside risk aversion, and the transition to entrepreneurship

This page was built for publication: Apportioning of risks via stochastic dominance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1017779)