高阶Ross更加风险厌恶的一个比较刻画

删除或更新信息，请邮件至freekaoyan#163.com(#换成@)

本站小编 Free考研考试/2021-12-27

高阶Ross更加风险厌恶的一个比较刻画田有功^1,21. 上海财经大学经济学院, 上海 200433;
2. 兰州财经大学数学系, 兰州 730020 A Comparative Characterization of Higher-order Ross More Risk Aversion TIAN Yougong^1,21. School of Economics, Shanghai University of Finance and Economics, Shanghai 200433, China;
2. Department of Mathematics, Lanzhou University of Finance and Economics, Lanzhou 730020, Chin

摘要
图/表
参考文献(0)
相关文章(3)
点击分布统计
下载分布统计
-->

全文: PDF(398 KB) HTML (1 KB)
输出: BibTeX | EndNote (RIS)

摘要基于高阶的风险变化的风险补偿，提出了一个对高阶Ross更加风险厌恶程度的比较刻画.我们的结果表明：当风险F经过一个n阶风险增加变化到G时，决策者u相对于决策者v是n阶Ross更加风险厌恶的，当且仅当决策者u的风险补偿总是不小于决策者v的风险补偿；更一般地，当风险F经过一个n阶保前l（l ≥ 2）阶矩随机占优变化到G时，决策者u相对于决策者v是k阶Ross更加风险厌恶的，k=l+1，…，n，当且仅当决策者u的风险补偿总是不小于决策者v的风险补偿.

服务

加入引用管理器

E-mail Alert

RSS

收稿日期: 2016-06-17

PACS:	F224.9
	O211.9

基金资助:国家自然科学基金（71371117）和上海财经大学研究生创新基金（2015364）资助项目.

引用本文:

田有功. 高阶Ross更加风险厌恶的一个比较刻画[J]. 应用数学学报, 2017, 40(3): 355-367. TIAN Yougong. A Comparative Characterization of Higher-order Ross More Risk Aversion. Acta Mathematicae Applicatae Sinica, 2017, 40(3): 355-367.

链接本文:

http://123.57.41.99/jweb_yysxxb/CN/或 http://123.57.41.99/jweb_yysxxb/CN/Y2017/V40/I3/355

[1]	Eeckhoudt L, Schlesinger H. Changes in risk and the demand for saving. J. Monetary Econom., 2008, 55(7):1329-1336
[2]	Li J. The demand for a risky asset in the presence of a background risk. J. Econ. Theory, 2011, 146(1):372-391
[3]	Courbage C, Rey B. Priority setting in health care and higher order degree change in risk. J. Health Econ., 2012, 31(3):484-489
[4]	Chiu W, Eeckhoudt L, Rey B. On relative and partial risk attitudes:theory and implications. Econ. Theor., 2012, 50(1):151-167
[5]	Bernoulli D. Specimen theoriae novae de mensura sortis. Econometrica, 1954, 22:23-36
[6]	Kimball M. Precautionary saving in the small and in the large. Econometrica, 1990, 58(1):53-73
[7]	Kimball M. Standard risk aversion. Econometrica, 1993, 61(3):589-611
[8]	Rothschild M, Stiglitz J. Increasing risk I:a definition. J. Econ. Theory, 1970, 2(3):225-243
[9]	Menezes C, Geiss C, Tressler J. Increasing downside risk. Am. Econ. Rev., 1980, 70(5):921-932
[10]	Menezes C, Wang X. Increasing outer risk. J. Math. Econ., 2005, 41(4):875-886
[11]	Arrow K. Aspects of the theory of risk bearing. Helsinki:Yrjo Jahnsson Foundation, 1965
[12]	Pratt J. Risk aversion in the small and in the large. Econometrica, 1964, 32(12):122-136
[13]	Ekern S. Increasing Nth degree risk. Econ. Lett., 1980, 6(4):329-333
[14]	Ross S. Some stronger measures of risk aversion in the small and the large with applications. Econometrica, 1981, 49(3):621-638
[15]	Modica S, Scarsini M. A note on comparative downside risk aversion. J. Econ. Theory, 2005, 122(1):267-271
[16]	Jindapon P, Neilson W. Higher-order generalizations of Arrow-Pratt and Ross risk aversion:a comparative statics approach. J. Econ. Theory, 2007, 136(1):719-728
[17]	Li J. Comparative higher-degree Ross risk aversion. Insur. Math. Econ., 2009, 45(3):333-336
[18]	Denuit M, Eeckhoudt L. Stronger measures of higher-order risk attitudes. J. Econ. Theory, 2010, 145(5):2027-2036
[19]	Crainich D, Eeckhoudt L. On the intensity of downside risk aversion. J. Risk Uncertainty, 2008, 36(3):267-276
[20]	Denuit M, Eeckhoudt L. Risk attitudes and the value of risk transformations. Int. J. Econ. Theory, 2013, 9(9):245-254
[21]	Ebert S, Wiesen D. Joint measurement of risk aversion, prudence, and temperance. J. Risk Uncertainty, 2014, 48(3):231-252
[22]	Jean W. The geometric mean and stochastic dominance. J. Financ., 1980, 35(1):151-158
[23]	Denuit M, De Vylder E, Lefevre C. Extremal generators and extremal distributions for the continuous s-convex stochastic orderings. Insur. Math. Econ., 1999, 24(3):201-217
[24]	Liu L. Precautionary saving in the large:nth degree deteriorations in future income. J. Math. Econ., 2014, 52(3):169-172
[25]	Eeckhoudt L, Schlesinger H. Putting risk in its proper place. Am. Econ. Rev., 2006, 96(1):280-289

[1]	费为银, 李钰, 石学芹, 李娟. 奈特不确定和部分信息下的最优交易策略[J]. 应用数学学报(英文版), 2014, 37(2): 193-205.
[2]	费为银, 李钰, 石学芹, 李娟. 奈特不确定和部分信息下的最优交易策略[J]. 应用数学学报(英文版), 0, (): 193-205.
[3]	马研生. 一类非光滑条件下欧式期权定价模型[J]. 应用数学学报(英文版), 2010, 33(6): 1011-1018.

PDF全文下载地址:

http://123.57.41.99/jweb_yysxxb/CN/article/downloadArticleFile.do?attachType=PDF&id=14331