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1.
>P>Summary. We provide a set of simple and intuitive set of axioms that allow for a direct and constructive proof of the Choquet Expected
Utility representation for decision making under uncertainty.
Received: October 29, 2002; revised version: November 13, 2002
RID="*"
ID="*" We thank Matthew Ryan for very useful comments and suggestions on related work and for encouraging us to write this
note.
Correspondence to: S. Grant 相似文献
2.
Jiankang Zhang 《Economic Theory》2002,20(1):159-181
Summary. Using the Savage set up, this paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity
is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms. The key
axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones. In addition, the notion of ‘ambiguity’
is subjective and derived from preferences.
Received: March 23, 2000; revised version: April 24, 2001 相似文献
3.
Summary. We focus on the following uniqueness property of expected utility preferences: Agreement of two preferences on one interior
indifference class implies their equality. We show that, besides expected utility preferences under (objective) risk, this
uniqueness property holds for subjective expected utility preferences in Anscombe-Aumann's (partially subjective) and Savage's
(fully subjective) settings, while it does not hold for subjective expected utility preferences in settings without rich state
spaces. Indeed, when it holds the uniqueness property is even stronger than described above, as it needs only agreement on
binary acts. The extension of the uniqueness property to the subjective case is possible because beliefs in the mentioned
settings are shown to satisfy an analogous property: If two decision makers agree on a likelihood indifference class, they
must have identical beliefs.
Received: November 15, 1999; revised version: December 29, 1999 相似文献
4.
Summary. We show, in the Choquet expected utility model, that preference for diversification, that is, convex preferences, is equivalent
to a concave utility index and a convex capacity. We then introduce a weaker notion of diversification, namely “sure diversification.”
We show that this implies that the core of the capacity is non-empty. The converse holds under concavity of the utility index,
which is itself equivalent to the notion of comonotone diversification, that we introduce. In an Anscombe-Aumann setting,
preference for diversification is equivalent to convexity of the capacity and preference for sure diversification is equivalent
to non-empty core. In the expected utility model, all these notions of diversification are equivalent and are represented
by the concavity of the utility index.
Received: July 27, 1999; revised version: November 7, 2000 相似文献
5.
Summary. This paper studies monotone risk aversion, the aversion to monotone, mean-preserving increase in risk (Quiggin [21]), in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected utility by another functional, characterized by two functions, a utility function u in conjunction with a probability-perception function f. Monotone mean-preserving increases in risk are closely related to the notion of comparative
dispersion introduced by Bickel and Lehmann [3,4] in Non-parametric Statistics. We present a characterization of the pairs (u,f) of monotone risk averse decision makers, based on an index of greediness
G
u
of the utility function u and an index of pessimism
P
f
of the probability perception function f: the decision maker is monotone risk averse if and only if
. The index of greediness (non-concavity) of u is the supremum of
taken over
. The index of pessimism of f is the infimum of
taken over 0 < v < 1. Thus,
, with G
u
= 1 iff u is concave. If
then
, i.e., f is majorized by the identity function. Since P
f
= 1 for Expected Utility maximizers,
forces u to be concave in this case; thus, the characterization of risk aversion as
is a direct generalization from EU to RDEU. A novel element is that concavity of u is not necessary. In fact, u must be concave only if P
f
= 1.Received: 10 April 2001, Revised: 18 November 2003, JEL Classification Numbers:
D81.
Correspondence to: Michéle CohenAlain Chateauneuf, Michéle Cohen, Isaac Meilijson: We are most grateful to Mark Machina, Peter Wakker and two anonymous referees for very helpful suggestions and comments. 相似文献
6.
Marco LiCalzi 《Economic Theory》2000,16(2):489-502
Summary. The decision-theoretic literature has developed very few techniques to bound the expected utility of a random variable when
only simple statistics like its median or mode or mean are known. One reason for this lack of results is that we are missing
a convenient way to link probability theory and expected utility. This paper is written to demonstrate a general (and genuinely
probabilistic) technique to obtain upper and lower bounds for the expected utility of a lottery.
Received: December 14, 1999; revised version: March 8, 2000 相似文献
7.
Fabio Maccheroni 《Economic Theory》2002,19(4):823-831
Summary. Let be a continuous and convex weak order on the set of lotteries defined over a set Z of outcomes. Necessary and sufficient conditions are given to guarantee the existence of a set of utility functions defined on Z such that, for any lotteries p and q,
The interpretation is simple: a conservative decision maker has an unclear evaluation of the different outcomes when facing
lotteries. She then acts as if she were considering many expected utility evaluations and taking the worst one.
Received: January 19, 2000; revised version: December 20, 2000 相似文献
8.
Summary. A well-known result in the medical insurance literature is that zero co-insurance is never second-best for insurance contracts
subject to moral hazard. We replace the usual expected utility assumption with a version of the rank-dependent utility (RDU)
model that has greater experimental support. When consumers exhibit such preferences, we show that zero co-insurance may in
fact be optimal, especially for low-risk consumers. Indeed, it is even possible that the first-best and second-best contracts
are identical. In this case, there is no “market failure”, despite the informational asymmetry. We argue that these RDU results are in
better accord with the empirical evidence from US health insurance markets.
Received: February 26, 2001; revised version: October 4, 2002
RID="*"
ID="*"The authors would particularly like to thank Simon Grant, John Quiggin, Peter Wakker and an anonymous referee for valuable
comments and suggestions on earlier drafts. The paper has also benefitted from the input of seminar audiences at The Australian
National University, University of Auckland, University of Melbourne and University of Sydney. Ryan also gratefully acknowledges
the financial support of the ARC, through Grant number A000000055.
Correspondence to:R. Vaithianathan 相似文献
9.
We show that range convexity of beliefs, a `technical' condition that appears naturally in axiomatizations of preferences
in a Savage-like framework, imposes some unexpected restrictions when modelling ambiguity averse preferences. That is, when
it is added to a mild condition, range convexity makes the preferences collapse to subjective expected utility as soon as
they satisfy structural conditions that are typically used to characterize ambiguity aversion.
Received: February 25, 2000; revised version: April 17, 2000 相似文献
10.
Parametric characterizations of risk aversion and prudence 总被引:1,自引:0,他引:1
Summary. Our first main result says that whether one decision maker is more risk averse than another can be determined from their
attitudes toward a given two-parameter family of risks. When all risks belong to this family, risk aversion can be compared
even when initial wealth is random. Our second main result solves a long-standing problem in mean-variance analysis: what
is the interpretation of the concavity of utility as a function of mean and variance? We show that in the case of normal distributions,
this utility function is concave if and only if the agent has decreasing prudence.
Received: July 29, 1996; revised: October 2, 1998 相似文献
11.
Summary. This note provides an alternative proof for the equivalence of decreasing absolute prudence (DAP) in the expected utility
framework and in a two-parametric approach where utility is a function of the mean and the standard deviation. In addition,
we elucidate that the equivalence of DAP and the concavity of utility as a function of mean and variance, which was shown
to hold for normally distributed stochastics in Lajeri and Nielsen [4], cannot be generalized.
Received: November 27, 2000; revised version: November 26, 2001
Correspondence to: T. Eichner 相似文献
12.
For any random vector of wealth payoffs
, let the random variable
be mutually independent of
and
with
. The basic question we address in this paper is the following: When can we say that
is preferred by an expected-utility maximizer to
whenever
is preferred to
? In other words, when can we guarantee that the addition of an arbitrary independent background noise
will not affect the preference ranking between other risks? 相似文献
13.
Lars Tyge Nielsen 《Economic Theory》1999,14(2):285-296
Summary. Differentiability is a convenient property of von Neumann-Morgenstern utility functions which is almost always imposed but
has not been translated into behavioral terms. In applications, expected utility is usually maximized subject to a constraint,
and the maximization is carried out by differentiating the utility function. This paper presents two sets of necessary and
sufficient conditions for a risk averse von Neumann-Morgenstern utility function to be differentiable. The first of them is
formulated in terms of the equivalent risk premia of small gambles. It says, in brief, that the equivalent risk premium is
of a smaller order of magnitude than the risk itself, as measured by the expectation of the absolute value of the risk. The
second set of necessary and sufficient conditions is formulated in terms of the probability premium of small lotteries. It
says, essentially, that the probability premium for small binary lotteries goes to zero as the size of the lottery goes to
zero.
Received: May 11, 1997; revised version: May 14, 1998 相似文献
14.
Endogenous technological change with leisure-dependent utility 总被引:2,自引:0,他引:2
Paul A. de Hek 《Economic Theory》1999,14(3):669-684
Summary. This paper investigates the effect of introducing leisure-dependent utility into two models of endogenous technological change.
Due to the flexibility in the labour supply the dynamics of the models change significantly. It is shown that if agents attach
enough value to leisure in comparison to consumption two balanced growth paths may exist. This implies that economies with
the same preferences and the same technology may experience different long-run growth rates.
Received: October 17, 1997; revised version: January 6, 1999 相似文献
15.
Intertemporal substitution, risk aversion and ambiguity aversion 总被引:1,自引:0,他引:1
Takashi Hayashi 《Economic Theory》2005,25(4):933-956
Summary. This paper axiomatizes a form of recursive utility on consumption processes that permits a role for ambiguity as well as risk. The model has two prominent special cases: (i) the recursive model of risk preference due to Kreps and Porteus [18]; and (ii) an intertemporal version of multiple-priors utility due to Epstein and Schneider [8]. The generalization presented here permits a three-way separation of intertemporal substitution, risk aversion and ambiguity aversion.Received: 5 August 2003, Revised: 12 March 2004, JEL Classification Numbers:
D80, D81, D90.I am grateful to Larry Epstein for his guidance and invaluable advice, and to a referee for helpful comments and suggestions. 相似文献
16.
Robert A. Becker 《Economic Theory》2001,17(3):739-752
An agent's acceptance set consists of the probability distributions preferred to the status quo. One agent is more risk averse
than another if the more risk averse agent's acceptance set is a proper subset of the less risk averse agent's acceptance
set. An agent's odds premium expresses the odds in favor of winning the largest cash prize in a lottery over the best and
worst alternatives that is indifferent to the the agent's initial wealth. Comparisons of two agents odds premia completely
characterizes the risk aversion relations between them when facing lotteries in a probability triangle. The result applies
to expected utility and some non-expected utility theories.
Received: December 30, 1998; revised version: February 10, 1999 相似文献
17.
Summary. Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty preferences
embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines
a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference
and is centered on the notion of a least convex capacity.
Received: May 7, 1997; revised version: November 5, 1997 相似文献
18.
We consider a portfolio-choice problem with one risky and one safe asset, where the utility function exhibits decreasing absolute risk aversion (DARA). We show that the indirect utility function of the portfolio-choice problem need not exhibit DARA. However, if the (optimal) marginal propensity to invest is positive for both assets, which is true when the utility function exhibits nondecreasing relative risk aversion, then the DARA property is carried over from the direct to the indirect utility function. 相似文献
19.
Summary. This paper attempts to merge two strands of the literature on relative deprivation and generalized Gini indices by designing
a new class of generalized Gini indices based on the concept of relative deprivation. In this connection, rank-dependent marginal
deprivation functions are introduced. A new class of generalized Gini indices is derived axiomatically. It turns out to be
the sum of modified versions of the S-Gini and the I-Gini introduced by Donaldson and Weymark (1980).
Received: December 23, 1998; revised version: November 9, 1999 相似文献
20.
Townshend-Zellner shows that, as a group, high school economics texts have improved substantially during the last decade. “It is now possible,” he asserts, “to recommend to high schools a significant number of texts … which substantially meet the minimum criteria set by the canons of our professional discipline.” There are still problems, however, in that “… the quality of the acceptable texts now runs strongly ahead of the typical teacher's preparation in economics.” 相似文献