Stochastic Dominance Analysis Without the Independence Axiom

• 成果类型: Article
• 署名作者: Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo
• 署名单位: Bocconi University; Bocconi University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2388
• 发表日期: 2017
• 页码: 1097-1109
• 关键词: Stochastic dominance; Integral stochastic orders; nonexpected utility; risk aversion; multiutility representation; prospect theory; choice-acclimating personal equilibria

摘要

We characterize the consistency of a large class of nonexpected utility preferences (including mean-variance preferences and prospect theory preferences) with stochastic orders (for example, stochastic dominances of different degrees). Our characterization rests on a novel decision theoretic result that provides a behavioral interpretation of the set of all derivatives of the functional representing the decision maker's preferences. As an illustration, we consider in some detail prospect theory and choice-acclimating preferences, two popular models of reference dependence under risk, and we show the incompatibility of loss aversion with prudence.