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
Day-of-the-week effect in the Taiwan foreign exchange market
TL;DR: The authors used stochastic dominance with and without risk-free assets to examine whether trading days can affect patterns of the day-of-the-week effect in the Taiwan foreign exchange market.
Journal ArticleDOI
The distributional effects of indirect tax changes in Italy
TL;DR: In this article, the authors evaluate the distributional and welfare effects of two recent changes of VAT and excise taxes in Italy applying and comparing two related and complementary methods of analysis: the first based on distributional characteristics of Feldstein(1972) and recently applied by Newbery (1995); the second basedon the theory of marginal dominance developed by Mayshar andYitzhaki (1996).
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A short note on second‐order stochastic dominance preserving coherent risk measures
TL;DR: In this article, the authors improved results on law invariant coherent risk measures satisfying the Fatou property due to Kusuoka (2001; Adv. Math. Econ. 3, 83, 95) by considering risk measures which are in addition second order stochastic dominance preserving.
Journal ArticleDOI
The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test
TL;DR: In this paper, the mean-variance ratio (MVR) statistic was proposed for testing the equality of mean-varianance ratios. And the proposed statistic is the uniformly most powerful unbiased statistic for comparing the performances of stock indices.
Journal ArticleDOI
Discretionary disclosure, efficiency, and signal informativeness ☆
TL;DR: In this paper, the authors studied a competitive asset market characterized by an adverse selection problem and found that informed parties over-invest in the signal informativeness relative to the level that maximizes social welfare.
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.
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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.