The assessment of large compounds of independent gambles
成果类型：
Article
署名作者：
Hellwig, MF
署名单位：
Harvard University
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1995.1076
发表日期：
1995
页码：
299-326
关键词：
摘要：
The paper gives necessary and sufficient conditions for an expected-utility-maximizing decision maker to prefer any compound Sigma(i)(n)=1 <(X)over tilde(i)> of n independent, identically distributed random variables over any other such compound Sigma(i)(n)=1 <(Y)over tilde(i)> with E<(Y)over tilde(i)> < E<(X)over tilde(i)>, provided that n is sufficiently large. A sufficient condition is that absolute risk aversion go to zero as the decision maker's wealth becomes unboundedly positive or negative. The analysis is applied to give necessary and sufficient conditions for the desirability of ''max-expected-log'' policies in multiperiod choice problems with a distant time horizon. (C) 1995 Academic Press, Inc.