Fractional Degree Stochastic Dominance

• 成果类型: Article
• 署名作者: Huang, Rachel J.; Tzeng, Larry Y.; Zhao, Lin
• 署名单位: National Central University; National Taiwan University; National Chengchi University; National Taiwan University; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3406
• 发表日期: 2020
• 页码: 4630-4647
• 关键词: Stochastic dominance; risk aversion; risk lovingness; higher-order risk preferences; risk taking

摘要

We develop a continuum of stochastic dominance rules for expected utility maximizers. The new rules encompass the traditional integer-degree stochastic dominance; between adjacent integer degrees, they formulate the consensus of individuals whose absolute risk aversion at the corresponding integer degree has a negative lower bound. By extending the concept of uniform risk aversion previously proposed in the literature to high-order risk preferences, we interpret the fractionalized degree parameter as a benchmark individual relative to whom all considered individuals are uniformly no less risk averse in the lottery choices. The equivalent distribution conditions for the newrules are provided, and the fractional degree increase in risk is defined. We generalize the previously defined notion of risk apportionment and demonstrate its usefulness in characterizing comparative statics of risk changes in fractional degrees.