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    题名: A General Theorem on the Comparative Statics of Changes in Risk
    作者: Hau, Arthur
    贡献者: 淡江大學產業經濟學系
    关键词: 比較靜態分析;風險趨避者;絕對風險;報酬函數;Comparative Static Analysis;Risk Averter;Absolute Risk;Payoff Function
    日期: 2000-06
    上传时间: 2014-02-12 12:29:55 (UTC+8)
    摘要: The concept of "absolutely riskier than" is introduced to generalize Gollier's [1995] necessary and sufficient conditions for the comparative statics of a change in risk given risk aversion. The restrictive assumption that the payoff function is monotonic in the risk is relaxed. A simple but realistic example is given to illustrate how easily the monotonicity assumption is violated. Finally, to show how the concept of "absolutely riskier than" operates, it is used to explain why the concept of second-order stochastic dominance is neither necessary nor sufficient for the comparative statics of shifts in distributions under a general payoff function.
    關聯: 淡江大學 創校五十週年商學院國際學術研討會論文集=Marching into the New Millennium: Economic Globalization=Proceedings,頁383-408
    显示于类别:[產業經濟學系暨研究所] 會議論文


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