ms·1994년 5월 1일
The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
Michael Landsberger, Isaac Meilijson
Management Science
51
피인용
1.8
FWCI
0
IS/마케팅/OM 탑저널 피인용
8
IS/마케팅/OM 탑저널 참고문헌
- 주제다속성 효용 평가 · 의사결정분석
01Abstract
A generating process of Jewitt's location independent risk concept is derived in terms of left stretches based on single crossings between distributions. For concave nondecreasing utility functions this stochastic order preserves monotonicity between risk premium and the Arrow-Pratt measure of risk aversion. We show that a stronger order, the Bickel-Lehmann notion of dispersion, preserves this monotonicity for the larger class of nondecreasing utilities.
02연구 흐름
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03비슷한 논문
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04이후 연구
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05선행 연구
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06서지 정보
- 저널Management Science · 40(5) · 662–669
- 토픽Risk and Portfolio Optimization · Management Science and Operations Research
- DOI10.1287/mnsc.40.5.662
- 저자Michael Landsberger, Isaac Meilijson