Fear of loss, inframodularity, and transfers

Autor:	Alfred Müller, Marco Scarsini
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	Economics and Econometrics Sequence Generalization Univariate Stochastic dominance Risk aversion Function (mathematics) Mean preserving spread Integral stochastic orders Ultramodularity Dual cones Lottery Mean-preserving spread Mathematical economics Expected utility hypothesis Mathematics
Popis:	There exist several characterizations of concavity for univariate functions. One of them states that a function is concave if and only if it has nonincreasing differences. This definition provides a natural generalization of concavity for multivariate functions called inframodularity. Inframodular transfers are defined and it is shown that a finite lottery is preferred to another by all expected utility maximizers with an inframodular utility if and only if the first lottery can be obtained from the second via a sequence of inframodular transfers. This result is a natural multivariate generalization of Rothschild and Stiglitzʼs construction based on mean preserving spreads.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d39b6fce768a99c65ac0b06f0051124f http://hdl.handle.net/11385/17838 Zobrazit plný text záznamu