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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Safety-first analysis and stable paretian approach to portfolio choice theory
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A family of dominance rules for multiattribute decision making under uncertainty
TL;DR: This paper sees how dominance-based decision-making can be applied to multiattribute decision- making problems with uncertainty due to noisy criteria values, and shows that, for bounded uncertainty, it is possible to produce the smallest sufficient subset that is guaranteed to contain all of the nondominated alternatives, and the largest necessary subset that contains only nondominatedalternatives.
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Cardinality versus Ordinality: A Suggested Compromise
TL;DR: In this paper, the authors define an ordering over assumptions on utility functions that gauges their measurement requirements, and apply the ordering to explanations of why preferences should be convex and rationalize the core utilitarian policies.
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Pension fund management with hedging derivatives, stochastic dominance and nodal contamination
TL;DR: Numerical results show that the proposed Asset and Liability Management model can efficiently manage the pension fund satisfying several targets such as liquidity, returns, sponsor’s extraordinary contribution and funding gap.
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Density inference for ranking European research systems in the field of economics
TL;DR: In this article, the authors adapted the econometrics of inequality measurement in order to investigate the publishing habits of the economists of seven European countries: Belgium, France, Germany, Italy, Netherlands, Spain and UK.
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.
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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.