广义优化确定性等效及其在秩相关实用新型中的应用

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-09-17 DOI:10.2139/ssrn.3694866

Qinyu Wu, Tiantian Mao, Taizhong Hu

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引用次数: 0

摘要

本文引入了一类基于变分偏好的最优确定性等价，给出了其基于ϕ-散度的对偶表示，并研究了其正同质性和相干性的等价表征。作为应用，我们研究了基于秩相关效用(RDU)模型的优化确定性当量的性质。

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Generalized Optimized Certainty Equivalent with Applications in the Rank-dependent Utility Model

In this paper, we introduce a class of optimized certainty equivalent based on the variational preference, give its dual representation based on ϕ-divergence, and study its equivalent characterization of positive homogeneity and coherence. As applications, we investigate the properties of optimized certainty equivalent based on the rank-dependent utility (RDU) model. The dual representation of RDU-based shortfall risk measure proposed by Mao and Cai (2018) is also presented.

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ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)

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