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
Skewness in Financial Returns: Evidence from the Portuguese Stock Market
TL;DR: The traditional mean-variance (MV) equilibrium framework (two-parameter model) requires either the normality of the return distributions or quadratic utility functions as discussed by the authors.
Journal ArticleDOI
Multivariate decision-making
Haim Levy,Haim Levy,Azriel Levy +2 more
TL;DR: In this article, the first-degree multivariate stochastic dominance rule was established by applying the concepts of the indirect utility function and the indirect probability distribution to a set of multivariate risky options.
Journal ArticleDOI
An empirical study of risk under fixed and flexible exchange
Journal ArticleDOI
Stochastic Optimization of Sensor Placement for Diver Detection
TL;DR: The framework is tested in numerical experiments with real-life data for circular and elliptic hydrophone placements and is shown to be superior to a deterministic energy-based approach.
Journal ArticleDOI
Inequalities for stochastic flow shops and job shops
Michael Pinedo,Sung-Hwan Wie +1 more
TL;DR: In this article, the authors studied the effect of the variability of distribution Fj on the expected waiting costs of the n jobs and on the job sequencing which minimizes this total expected waiting cost.
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.