Between Nth- and (N+1) th-Degree Stochastic Dominance
2017/09/12
研討會日期 : 2017-09-12
時間 : 14:30
主講人 : Professor Juiching Huang (黃瑞卿)
主持人 : Professr Yu-Chin Hsu
地點 : Conference Room B110
演講者簡介 : Professor Huang received her Ph.D. in Finance from National Taiwan University in 2003. She is currently a Professor at the Department of Finance, National Central University. Her research interests are Risk Theory, Behavioral Insurance, Asymmetric Information, and Capital Market.
演講摘要 : Under an expected utility framework, we develop a continuum of stochastic dominance rules for individuals whose Nth-degree absolute risk aversion has a common negative lower bound. We justify the preference constraint by extending the concept of uniform risk aversion proposed by Aumann and Serrano (2008) to higher orders. The new rules encompass the standard Nth-degree stochastic dominance, and enlarge the class of comparable risk changes that are subject to the notion of risk apportionment pioneered by Eeckhoudt and Schlesinger (2006). We generalize the existing results regarding stochastic dominance, and illustrate the applications of our rules in various important decision problems.
