Fear of loss, inframodularity, and transfers

• 成果类型: Article
• 署名作者: Mueller, Alfred; Scarsini, Marco
• 署名单位: Luiss Guido Carli University; Universitat Siegen; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.02.002
• 发表日期: 2012
• 页码: 1490-1500
• 关键词: Mean preserving spread; Integral stochastic orders; risk aversion; Ultramodularity; Dual cones

摘要

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. lnframodular 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 Stiglitz's construction based on mean preserving spreads. (c) 2011 Elsevier Inc. All rights reserved.