Download or read book Dominance Conditions for Utility Functions with Multivariate Risk Aversion written by Stanford University. Department of Statistics and published by . This book was released on 1987 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Decisions with Unknown Price Vector written by Marco Scarsini and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a class of decision makers who have to choose among different random bundles of commodities. It is assumed that they maximize expected utility, and their utility functions depend only on the monetary value of the bundles of commodities. Stochastic dominance conditions are provided when the price vector is assumed unknown. Risk aversion and constraints on the price vectors are considered as particular cases. The results are compared with other approaches to multivariate decisions.
Download or read book Multicriteria Analysis written by Joao Climaco and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: J. CIimaco and C. H. Antunes After the pleasure which has been to host the community of researchers and practitioners in the area of multicriteria analysis (MA) in Coimbra in August 1994, this volume of proceedings based on the papers presented at the conference is the last step of that venture. Even though this may not be the appropriate place we cannot resist, however, the temptation to express herein some brief feelings about the conference. Almost everything concerning the conference organisation has been "handcrafted" by a small number of people, with the advantages and disadvantages that this approach generates. Our first word of acknowledgement is of course due to those who have had a permanent and active role in the multiple aspects which make the success of a conference: Maria Joao Alves, Carlos Henggeler Antunes (who is a co author of this introduction since he has closely collaborated with me in the scientific programme), Joao Paulo Costa, Luis Dias (who greatly contributed to the organisation of this volume) and Paulo Melo, as well as Leonor Dias, from the Faculty of Economics, who has shown an outstanding dedication. To those who collaborated with the organisers in the framework of their professional activity, special thanks due to Adelina whose dedication greatly exceeded her duties. As you probably know from your own experience every small detail of the conference organisation required a lot of "sweating", but the atmosphere of joy and friendship then generated has been a generous "pay-off".
Download or read book Stochastic Orders and Applications written by Karl Mosler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: A bibliography on stochastic orderings. Was there a real need for it? In a time of reference databases as the MathSci or the Science Citation Index or the Social Science Citation Index the answer seems to be negative. The reason we think that this bibliog raphy might be of some use stems from the frustration that we, as workers in the field, have often experienced by finding similar results being discovered and proved over and over in different journals of different disciplines with different levels of mathematical so phistication and accuracy and most of the times without cross references. Of course it would be very unfair to blame an economist, say, for not knowing a result in mathematical physics, or vice versa, especially when the problems and the languages are so far apart that it is often difficult to recognize the analogies even after further scrutiny. We hope that collecting the references on this topic, regardless of the area of application, will be of some help, at least to pinpoint the problem. We use the term stochastic ordering in a broad sense to denote any ordering relation on a space of probability measures. Questions that can be related to the idea of stochastic orderings are as old as probability itself. Think for instance of the problem of comparing two gambles in order to decide which one is more favorable.
Download or read book Topics in Microeconomics written by Elmar Wolfstetter and published by Cambridge University Press. This book was released on 1999-10-28 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book in microeconomics focuses on the strategic analysis of markets under imperfect competition, incomplete information, and incentives. Part I of the book covers imperfect competition, from monopoly and regulation to the strategic analysis of oligopolistic markets. Part II explains the analytics of risk, stochastic dominance, and risk aversion, supplemented with a variety of applications from different areas in economics. Part III focuses on markets and incentives under incomplete information, including a comprehensive introduction to the theory of auctions, which plays an important role in modern economics.
Download or read book Local Utility and Multivariate Risk Aversion written by Arthur Charpentier and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to the concavity of the local utility functions, thereby generalizing Machina's result. To analyze comparative risk attitudes within the multivariate extension of rank dependent expected utility, we extend Quiggin's monotone mean and utility preserving increases in risk and show that the useful characterization given still holds in the multivariate case.
Download or read book Multivariate Risk Independence and Functional Forms for Preferences and Technologies written by Larry G. Epstein and published by . This book was released on 1978 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Schur concave Characterization of Risk Aversion for Non expected Utility Preferences written by Soo Hong Chew and published by . This book was released on 1994 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Averse Optimization and Control written by Darinka Dentcheva and published by Springer Nature. This book was released on with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Constant Risk Posture written by Stanford University. Department of Operations Research and published by . This book was released on 1974 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: A characterization is given of multivariate utility functions having constant additive risk posture, i.e., those utility functions for which it is attractive to add a random vector at all wealth levels once this is true at some wealth level. It turns out this is so if and only if there exist prices converting all commodities to money and the decision maker has constant absolute risk posture toward money (or equivalently his utility toward money is exponential or linear). The approach is axiomatic and considers substantially weaker regularity conditions of the utility functions than have been considered heretofore, namely measurability or boundedness on some open set instead of differentiability or continuity and strict monotonicity. Similar results are achieved for constant proportional risk posture. (Author).
Download or read book Progress in Utility and Risk Theory written by G.M. Hagen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. PROGRESS IN UTILITY AND RISK THEORY At the First International Congress of Utility and Risk Theory in Oslo 1982 (FUR-82) it appeared to be a widespread feeling among the participants that the conference signalled something like a paradigm shift in the field. This does not necessarily mean that old truths were discarded and replaced by new ones, but rather that new theories and new empirical evidence were brought forth, compelling old theories to be critically analyzed from new angels. Some of the papers presented at FUR-82 have been published by Reidel in 1983 in a volume edited by Stigum and Wenst0p. The present volume contains com mentaries on a number of the papers presented at the conference together with broader outlines of current views on the theory. The observation that utility and risk theory now appears to be in a state of rapid change has prompted us to choose the title PROGRESS IN UTILITY AND RISK THEORY for the book, in the belief that science always moves from poorer to more advanced paradigms or from weaker to more forceful theories. In other words, change is usually progress, even though intermediate stages in a para digm shift may be bewildering, to say the least.
Download or read book Studies in the Economics of Uncertainty written by Thomas B. Fomby and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in the Economics of Uncertainty presents some new developments in the economics of uncertainty produced by leading scholars in the field. The contributions to this Festschrift in honor of Professor Josef Hadar of Southern Methodist University cover a broad range of topics centered on the principle of Stochastic Dominance. Topics covered range from theoretical and statistical developments on Stochastic Dominance to new applications of the Stochastic Dominance Theory. The intended audience includes researchers interested in recent developments in tools used for decision-making under uncertainty as well as economists currently applying Stochastic Dominance principles to the analysis of the Theory of Firm, International Trade, and the Theory of Finance.
Download or read book Stochastic Orders and Decision Under Risk written by Karl C. Mosler and published by IMS. This book was released on 1991 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Mathematical Economics written by and published by . This book was released on 1999 with total page 1162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Management Science written by and published by . This book was released on 1992 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues for Feb. 1965-Aug. 1967 include Bulletin of the Institute of Management Sciences.
Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Download or read book Stochastic Dominance and Applications to Finance Risk and Economics written by Songsak Sriboonchita and published by CRC Press. This book was released on 2009-10-19 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
