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2015
Decomposition of Stochastic Dominance Orders and Their Comparative Statics Under Prudence
Decomposition of Stochastic Dominance Orders and Their Comparative Statics Under Prudence
한국경제통상학회
논문정보
- Publisher
- 경제연구
- Issue Date
- 2015-05-31
- Keywords
- -
- Citation
- -
- Source
- -
- Journal Title
- -
- Volume
- 33
- Number
- 2
- Start Page
- 169
- End Page
- 182
- DOI
- ISSN
- 1225861X
Abstract
We propose two new concepts of second-degree stochastic dominance (SSD) shifts, ‘the extended strong SSD (ESSSD) shift’ and ‘the left-side extended strong SSD (L-ESSSD) shift’ to obtain the desired comparative statics results and explore some properties of these ones. The ESSSD order can be decomposed into the monotone probability ratio (MPR) and the extended strong increases in risk (ESIR) one, and the L-ESSSD shift can be decomposed into the MPR and the left-side extended strong increases in risk (L-ESIR) one. Note that the ESSSD shift is the subset of the L-ESSSD one. One can obtain the appealing comparative statics results for these shifts given risk-averse decision makers who are prudent.
- 전남대학교
- KCI
- 경제연구
저자 정보
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