Open AccessPosted Content
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
Citations
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Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
TL;DR: In this paper, the authors present various notions of risk generated by the intuitively appealing single-crossing operations between distribution functions and show which choice questions are consistently modeled by each of these four orders.
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Strong Increases in Risk and Their Comparative Statics
Jack Meyer,Michael B. Ormiston +1 more
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An Actuarial Index of the Right-Tail Risk
TL;DR: In this article, the authors proposed a measure of the right-tail risk, representing low-frequency, large-loss events, by defining the right tail deviation and the righttail index, which is applied to some common parametric families of loss distributions.
Posted Content
A Risk-Return Model with Risk and Return Measured as Deviations from a Target Return
TL;DR: The most commonly used risk-return model is the mean-variance model in which risk is measured as the variance and return by the mean of the probability distribution over outcomes as discussed by the authors.
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Portfolio construction based on stochastic dominance and target return distributions
TL;DR: A model is proposed in which the aspiration points relate to ordered outcomes for the portfolio return, and this concept is extended by additionally specifying reservation points, which act pre-emptively in the optimization model.
References
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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
Book ChapterDOI
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.