{"title":"符合随机优势的风险前景的完全排序","authors":"Olivier Le Courtois, Xia Xu","doi":"10.2139/ssrn.3729152","DOIUrl":null,"url":null,"abstract":"We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties associated with third order SD. To highlight its edge, we show that the Aumann-Serrano and the Foster-Hart general riskiness indicators do not conform to third order SD. The ordering we introduce sheds light on mean variance theory and performance measurement, related SD developments, and optimal diversification. Besides, it contributes to the explanation of Rabin's paradox and reconciles the discrepancy between moment preferences and expected utility theory.","PeriodicalId":154400,"journal":{"name":"DecisionSciRN: Expected Utility Theory (Sub-Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Complete Ranking of Risky Prospects Consistent with Stochastic Dominance\",\"authors\":\"Olivier Le Courtois, Xia Xu\",\"doi\":\"10.2139/ssrn.3729152\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties associated with third order SD. To highlight its edge, we show that the Aumann-Serrano and the Foster-Hart general riskiness indicators do not conform to third order SD. The ordering we introduce sheds light on mean variance theory and performance measurement, related SD developments, and optimal diversification. Besides, it contributes to the explanation of Rabin's paradox and reconciles the discrepancy between moment preferences and expected utility theory.\",\"PeriodicalId\":154400,\"journal\":{\"name\":\"DecisionSciRN: Expected Utility Theory (Sub-Topic)\",\"volume\":\"18 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-11-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"DecisionSciRN: Expected Utility Theory (Sub-Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3729152\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"DecisionSciRN: Expected Utility Theory (Sub-Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3729152","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Complete Ranking of Risky Prospects Consistent with Stochastic Dominance
We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties associated with third order SD. To highlight its edge, we show that the Aumann-Serrano and the Foster-Hart general riskiness indicators do not conform to third order SD. The ordering we introduce sheds light on mean variance theory and performance measurement, related SD developments, and optimal diversification. Besides, it contributes to the explanation of Rabin's paradox and reconciles the discrepancy between moment preferences and expected utility theory.
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