Risk apportionment: The dual story

• 成果类型: Article
• 署名作者: Eeckhoudt, Louis R.; Laeven, Roger J. A.; Schlesinger, Harris
• 署名单位: IESEG School of Management; Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); National Office for Aerospace Studies & Research (ONERA); University of Amsterdam; University of Alabama System; University of Alabama Tuscaloosa; University of Konstanz
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.104971
• 发表日期: 2020
• 关键词: Higher order risk attitudes; prudence; Temperance; Risk apportionment; Non-expected utility theory; portfolio choice

摘要

By specifying new model free preferences towards simple nested classes of lottery pairs, we develop the dual story to stand on equal footing with that of (primal) risk apportionment. The dual story provides an intuitive interpretation, and full characterization, of dual counterparts of such concepts as prudence and temperance. The direction of preference between these nested classes of lottery pairs is equivalent to signing the successive derivatives of the probability weighting function within Yaari's (1987) dual theory. We explore implications of our results for optimal portfolio choice and show that the sign of the third derivative of the probability weighting function may be naturally linked to a self-protection problem. (C) 2019 Elsevier Inc. All rights reserved.