Fractional Degree Stochastic Dominance

doi:10.1287/mnsc.2019.3406

	Fractional Degree Stochastic Dominance
	Huang, Rachel J.2,3,4; Tzeng, Larry Y.1,2,3; Zhao, Lin 5
刊名	MANAGEMENT SCIENCE
	2020-10-01
卷号	66 期号:10 页码:4630-4647
关键词	stochastic dominance risk aversion risk lovingness higher-order risk preferences risk taking
ISSN号	0025-1909
DOI	10.1287/mnsc.2019.3406
英文摘要	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.
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
语种	英语
出版者	INFORMS
WOS记录号	WOS:000577435100015
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/52373]
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 Taiwan Univ, Dept Finance, Taipei 10617, Taiwan 2.Natl Chengchi Univ, Risk & Insurance Res Ctr, Taipei 11605, Taiwan 3.Natl Taiwan Univ, Ctr Res Econometr Theory & Applicat, Taipei 10617, Taiwan 4.Natl Cent Univ, Dept Finance, Taoyuan 32001, 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.