Another Tale of Two Tails: On Characterizations of Comparative Risk

被引：0
|
作者：
Alfred Müller
机构：
[1] Universität Karlsruhe,Institut für Wirtschaftstheorie und Operations Research
来源：
Journal of Risk and Uncertainty | 1998年 / 16卷
关键词：
mean preserving spread; increasing risk; generalized concavity;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We characterize the classes of utility functions that are consistent with different notions of mean preserving spreads introduced in the literature. This gives rise to a unified approach and extension of some definitions of increasing risk, including the concepts of Rothschild and Stiglitz (1970) and Landsberger and Meilijson (1990a,b). The main idea is to restrict the centers of the mean preserving spreads to an arbitrary subset.
引用
收藏
页码：187 / 197
页数：10
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