教師資料查詢 | 類別: 會議論文 | 教師: 侯德明 ARTHUR TAK MING HAU (瀏覽個人網頁)

標題:A General Theorem on the Comparative Statics of Changes in Risk
學年88
學期2
發表日期2000/06/03
作品名稱A General Theorem on the Comparative Statics of Changes in Risk
作品名稱(其他語言)
著者Hau, Arthur
作品所屬單位淡江大學產業經濟學系
出版者
會議名稱淡江大學 創校五十週年商學院國際學術研討會=Marching into the New Millennium: Economic Globalization Proceedings
會議地點臺北縣, 臺灣
摘要The concept of "absolutely riskier than" is introduced to generalize Gollier's [1995] necessary and sufficient conditions for the comparative statics of a change in risk given risk aversion. The restrictive assumption that the payoff function is monotonic in the risk is relaxed. A simple but realistic example is given to illustrate how easily the monotonicity assumption is violated. Finally, to show how the concept of "absolutely riskier than" operates, it is used to explain why the concept of second-order stochastic dominance is neither necessary nor sufficient for the comparative statics of shifts in distributions under a general payoff function.
關鍵字比較靜態分析;風險趨避者;絕對風險;報酬函數;Comparative Static Analysis;Risk Averter;Absolute Risk;Payoff Function
語言英文
收錄於
會議性質國際
校內研討會地點淡水校園
研討會時間20000603~20000604
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處淡江大學 創校五十週年商學院國際學術研討會論文集=Marching into the New Millennium: Economic Globalization=Proceedings,頁383-408
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