论文标题
第n级有限随机优势的表征
A Characterization of the n-th Degree Bounded Stochastic Dominance
论文作者
论文摘要
我们提供了$ n $ n $ teg的随机支配（BSD）订单的新颖特征，将其链接到决策者的风险承受能力和 为这些随机顺序提供决定理论基础。我们的结果表明，在积极方面，他们表明，BSD通过选择Interval $ [a，b] $来反映特定的风险偏好，这是通过以全球界限箭头风险规避或满足$ n $ convexity条件来表征的。在负面的一面，它们强调了BSD的局限性，包括BSD对所选间隔的依赖性以及BSD发电机中包含的决策者的特殊风险规避行为。我们通过具有随机优势约束的投资组合优化模型来说明结果。此外，使用我们的表征，我们提出了在不确定性下进行决策的比较静态结果，并在全球限制的审慎指标下进行全球限制的风险规定措施和储蓄决策，并为$ n $ besvex功能提供了不平等的不平等。
We provide a novel characterization of the $n$th degree bounded stochastic dominance (BSD) order, linking it to the risk tolerance of decision makers and providing a decision theoretic foundation for these stochastic orders. Our results reveal two contrasting implications, on the positive side, they show that BSD reflects specific risk preferences through the choice of the interval $[a,b]$, by characterizing it in terms of utility functions with globally bounded Arrow Pratt risk aversion or that satisfy an $n$ convexity condition. On the negative side, they highlight limitations of BSD, including the dependence of BSD on the chosen interval and the peculiar risk aversion behavior of decision-makers included in the generator of BSD. We illustrate our results through a portfolio optimization model with stochastic dominance constraints. Additionally, using our characterization, we present comparative statics results for decision making under uncertainty with globally bounded risk aversion measures and savings decisions under globally bounded prudence measures, and derive inequalities for $n$ convex functions.
