Apportioning of risks via stochastic dominance

DOI10.1016/J.JET.2008.11.005zbMATH Open1160.91322OpenAlexW3121428746MaRDI QIDQ1017779FDOQ1017779

Ilia Tsetlin, Harris Schlesinger, 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

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zbMATH Keywords

stochastic dominancerisk aversionprudencerisk apportionmentdownside risktemperanceprecautionary effects

Mathematics Subject Classification ID

Decision theory (91B06)

Cites Work

• The Efficiency Analysis of Choices Involving Risk
• Risk Vulnerability and the Tempering Effect of Background Risk
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• Proper Risk Aversion
• A Class of Utility Functions Containing all the Common Utility Functions
• Increasing outer risk
• Proper prudence, standard prudence and precautionary vulnerability
• Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities
• On the precautionary motive for savings and prudence in the rank-dependent utility framework

Cited In (39)

• Increasing \(N\)th degree inequality
• Dual Moments and Risk Attitudes
• Multiplicative risk apportionment
• Risk aversion with two risks: a theoretical extension
• Variance stochastic orders
• Precautionary self-insurance-cum-protection
• The monetary utility premium and interpersonal comparisons
• On the predictions of cumulative prospect theory for third and fourth order risk preferences
• Optimal multivariate financial decision making
• Preferences on discounting under time risk
• Some conditions for the equivalence between risk aversion, prudence and temperance
• Precautionary risk-reduction and saving decisions: two sides of the same coin?
• Second order of stochastic dominance efficiency vs mean variance efficiency
• Risk apportionment and multiply monotone targets
• New results on high-order risk changes
• Changes in risk and strategic interaction
• On ambiguity apportionment
• Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes
• A general theory of risk apportionment
• Decision Making When Things Are Only a Matter of Time
• New results for additive and multiplicative risk apportionment
• The value of risk reduction: new tools for an old problem
• Risk aversion, downside risk aversion, and the transition to entrepreneurship
• Risk apportionment: the dual story
• Risk apportionment via bivariate stochastic dominance
• A note on risky targets and effort
• Greater Arrow-Pratt (absolute) risk aversion of higher orders
• A stochastic dominance approach to financial risk management strategies
• Multivariate Concave and Convex Stochastic Dominance
• Stronger measures of higher-order risk attitudes
• On temperance and risk spreading
• STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS
• Generalized Almost Stochastic Dominance
• New results on the relationship among risk aversion, prudence and temperance
• Stochastic dominance in multicriterion analysis under risk
• Higher-order risk vulnerability
• Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance
• Another look at risk apportionment
• On relative and partial risk attitudes: theory and implications

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