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Rules for Ordering Uncertain Prospects
Josef Hadar,William R Russell +1 more
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This article is published in The American Economic Review.The article was published on 1969-01-01 and is currently open access. It has received 1748 citations till now.read more
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Stochastic Dominance Efficiency Tests under Diversification
TL;DR: In this paper, the authors focus on stochastic dominance (SD) efficiency in a finite empirical panel data and develop simple linear programming and 0-1 mixed integer linear programming tests of SD efficiency.
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Nonparametric comparative revealed risk aversion
TL;DR: A nonparametric method to compare risk aversion of different investors based on revealed preference methods is introduced, using Yaari's (1969) definition of “more risk averse than”, and it is shown that it is sufficient to compare the revealed preference relations of two investors.
Rao's Quadratic Entropy, Risk Management and Portfolio Theory
TL;DR: In this article, a framework to measure portfolio diversification inspired from Rao (1982a)'s Quadratic Entropy (RQE), a general approach to measuring diversity, is proposed.
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Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity
TL;DR: A decision-theoretic analysis of optimal portfolio choices and, in particular, their comparative statics under two types of entropic risk measures finds questionable predictions: under the CERM, the optimal risky investment is always increasing instead of decreasing when a background risk is introduced, while under the ERM it remains unaffected.
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Book
Theory of Games and Economic Behavior
TL;DR: Theory of games and economic behavior as mentioned in this paper is the classic work upon which modern-day game theory is based, and it has been widely used to analyze a host of real-world phenomena from arms races to optimal policy choices of presidential candidates, from vaccination policy to major league baseball salary negotiations.
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Admissibility and Measurable Utility Functions
James P. Quirk,Rubin Saposnik +1 more
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Ordered Families of Distributions
TL;DR: In this article, a comparison is made of several definitions of ordered sets of distributions, some of which were introduced earlier by the author [7], [8] and by Rubin [10], and the results are applied to obtaining tests that give a certain guaranteed power with a minimum number of observations.
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Dynamic Inventory Policy with Varying Stochastic Demands
TL;DR: In this article, a dynamic inventory model is formulated in which the demand distributions may change from period to period, and the optimal policy at each stage is characterized by a single critical number which also could vary in successive periods.