Journal ArticleDOI
The Efficiency Analysis of Choices Involving Risk
Giora Hanoch,Haim Levy +1 more
TLDR
In this paper, an analysis of the first step of the decision-making process of an individual decision maker among alternative risky ventures is presented, in terms of a single dimension such as money, both for the utility functions and for the probability distributions.Abstract:
Publisher Summary The choice of an individual decision maker among alternative risky ventures may be regarded as a two-step procedure. The decision maker chooses an efficient set among all available portfolios, independently of his tastes or preferences. Then, the decision maker applies individual preferences to this set to choose the desired portfolio. The subject of this chapter is the analysis of the first step. It deals with optimal selection rules that minimize the efficient set by discarding any portfolio that is inefficient in the sense that it is inferior to a member of the efficient set, from point of view of each and every individual, when all individuals' utility functions are assumed to be of a given general class of admissible functions. The analysis presented in the chapter is carried out in terms of a single dimension such as money, both for the utility functions and for the probability distributions. However, the results may easily be extended, with minor changes in the theorems and the proofs, to the multivariate case. The chapter explains a necessary and sufficient condition for efficiency, when no further restrictions are imposed on the utility functions. It presents proofs of the optimal efficiency criterion in the presence of general risk aversion, that is, for concave utility functions.read more
Citations
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Journal ArticleDOI
An Economic Analysis of Alternative Farm Revenue Insurance Policies
TL;DR: In this paper, the authors examine farmers' responses to agricultural stabilization and insurance policies, in particular price insurance, gross revenue insurance, crop insurance, price plus crop insurance and portfolio insurance, and conclude that agricultural insurance cannot be deemed production neutral, and some output effects may be observed.
Journal ArticleDOI
The comparative statics of cumulative distribution function changes for the class of risk averse agents
Jack Meyer,Michael B Ormiston +1 more
TL;DR: In this article, a necessary and sufficient condition, involving both the decision model and the CDF change, is derived, which allows the researcher to determine the tradeoff between assumptions on the economic model, and CDF changes, which are necessary and/or sufficient to yield determinate comparative static results.
Book ChapterDOI
A Unified Approach to Stochastic Dominance
S.L. Brumelle,R.G. Vickson +1 more
TL;DR: In this paper, a unified approach to stochastic dominance over the class of increasing concave utility functions is presented, which characterizes risk-averse investors in portfolio theory.
Journal ArticleDOI
Assessing and modelling catastrophic risk perceptions and attitudes in agriculture: a review
TL;DR: In this paper, the authors present a review of the techniques to elicit risk perception and risk attitude, and describe how the simultaneous impact of risk perceptions and attitude could be accounted for in risk programming.
Book ChapterDOI
6 – Increasing Risk: I. A Definition*
TL;DR: In this paper, the authors present a geometrically motivated definition of what it means for one random variable to have more weight in the tails than another, which is different from that of the fourth approach.
References
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Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
The Utility Analysis of Choices Involving Risk
TL;DR: In this paper, the authors suggest that an important class of reactions of individuals to risk can be rationalized by a rather simple extension of orthodox utility analysis, i.e., individuals frequently must, or can, choose among alternatives that differ, among other things, in the degree of risk to which the individual will be subject.
Journal ArticleDOI
The Existence of Probability Measures with Given Marginals
TL;DR: In this article, the existence of probability distributions with given marginals is studied under typically weaker assumptions, than those which are required by the use of Theorem 1, and necessary and sufficient conditions for a sequence of probability measures to be the sequence of distributions of a martingale, an upper semi-martingale or of partial sums of independent random variables.