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
Utility maximizing hedge ratios in the extended mean gini framework
Robert Kolb,John Okunev +1 more
Journal ArticleDOI
R&D: Competition, Risk, and Performance
TL;DR: In this article, the optimal level of collusion is often less collusive than Cournot duopoly in Bertrand industries, while in perfectly collusive industries, too many firms invest when a project has medium to high chances of success.
Journal ArticleDOI
Tractable almost stochastic dominance
TL;DR: A new Almost Stochastic Dominance (ASD) concept that is computationally tractable and performs well on all the intuitive examples from the literature, and in some cases leads to more realistic predictions than the earlier concept.
Journal ArticleDOI
Stochastic dominance theory for location-scale family
TL;DR: Comments are made on Meyer's paper and the results from Tobin (1958) that the indifference curve is convex upwards for risk averters, concave downwards for risk lovers, and horizontal for risk neutral investors are extended to include the general conditions stated by Meyer (1987).
Journal ArticleDOI
Ordinal Bayesian Incentive Compatible Representations of Committees
TL;DR: In this paper, the problem of strategic manipulation for decision schemes that provide an adequate representation (in some sense) of the distribution of power within a committee is considered, and the concept of "Ordinally Bayesian Incentive Compatible representation" is introduced.
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.