Stochastic Dominance Analysis Without the Independence Axiom
| Autor: | Massimo Marinacci, Fabio Maccheroni, Simone Cerreia-Vioglio |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Axiom independence
Strategy and Management media_common.quotation_subject PROSPECT THEORY Stochastic dominance Prudence Management Science and Operations Research Interpretation (model theory) Prospect theory Loss aversion CHOICE-ACCLIMATING PERSONAL EQUILIBRIA 0502 economics and business Economics Econometrics STOCHASTIC DOMINANCE 050207 economics RISK AVERSION MULTI UTILITY REPRESENTATION 050205 econometrics media_common Risk aversion 05 social sciences STOCHASTIC DOMINANCE INTEGRAL STOCHASTIC ORDERS NONEXPECTED UTILITY RISK AVERSION MULTI UTILITY REPRESENTATION PROSPECT THEORY CHOICE-ACCLIMATING PERSONAL EQUILIBRIA NONEXPECTED UTILITY INTEGRAL STOCHASTIC ORDERS Mathematical economics Decision analysis |
| Zdroj: | Management Science. 63:1097-1109 |
| ISSN: | 1526-5501 0025-1909 |
| DOI: | 10.1287/mnsc.2015.2388 |
| Popis: | We characterize the consistency of a large class of nonexpected utility preferences (including mean-variance preferences and prospect theory preferences) with stochastic orders (for example, stochastic dominances of different degrees). Our characterization rests on a novel decision theoretic result that provides a behavioral interpretation of the set of all derivatives of the functional representing the decision maker’s preferences. As an illustration, we consider in some detail prospect theory and choice-acclimating preferences, two popular models of reference dependence under risk, and we show the incompatibility of loss aversion with prudence. This paper was accepted by James Smith, decision analysis. |
| Databáze: | OpenAIRE |
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