Prudence and higher-order risk attitudes in the rank-dependent utility model

IF 0.7 4区 经济学 Q3 ECONOMICS
Ruodu Wang, Qinyu Wu
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引用次数: 0

Abstract

We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the literature, we do not assume any condition on the utility functions and the probability weighting functions, such as differentiability or continuity. It turns out that the level of generality that we offer leads to models that do not have a continuous probability weighting function and yet they satisfy prudence. In particular, the corresponding probability weighting function can only have a jump at 1, and must be linear on [0,1).
等级依赖实用新型的审慎性和高阶风险态度
我们在秩相关实用新型中获得了关于高阶随机优势的一致性的完整表征。与文献结果不同的是,我们没有对效用函数和概率加权函数假设任何条件,如可微性或连续性。事实证明,我们提供的通用性水平导致模型没有连续的概率加权函数,但它们满足审慎性。特别是,相应的概率加权函数只能在1处有跳跃,并且在[0,1)处必须是线性的。
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来源期刊
Journal of Mathematical Economics
Journal of Mathematical Economics 管理科学-数学跨学科应用
CiteScore
1.70
自引率
7.70%
发文量
73
审稿时长
12.5 weeks
期刊介绍: The primary objective of the Journal is to provide a forum for work in economic theory which expresses economic ideas using formal mathematical reasoning. For work to add to this primary objective, it is not sufficient that the mathematical reasoning be new and correct. The work must have real economic content. The economic ideas must be interesting and important. These ideas may pertain to any field of economics or any school of economic thought.
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