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基于秩相依效用模型的二阶随机占优

Second-order stochastic dominance with respect to the rank-dependent utility model

  • 摘要: 研究了一类由一个固定的效用函数f和一个固定的扭曲函数g构造的随机占优准则。该随机占优被称为 (f,g)-效用和扭曲的随机占优 ((f,g)-UDSD)。这一类准则适合代表决策者在风险规避方面的偏好。研究了这一类准则在秩相依效用模型下的刻画。受到效用一致的概念的启发,提出了扭曲一致的概念。关于 (f,g)-UDSD的效用一致和扭曲一致的刻画也被建立。基于本文的主要结果,对文献中的一些结果进行了统一。作为应用,利用 (f,g)-UDSD构造了一类介于一阶随机占优和二阶随机占优之间的连续化准则。

     

    Abstract: A generalized family of partial orders is studied, which is semiparametrized by a utility function f and a distortion function g , namely, (f,g) -utility and distorted stochastic dominance ( (f,g) -UDSD). Such a family is especially suitable for representing a decision maker’s preferences in terms of risk aversion. We characterize the monotonicity of the partial order in the rank-dependent utility model, and the isotonic classes of rank-dependent utility with (f,g) -UDSD are also established. Inspired by the concept of the congruent utility class, we introduce the definition of the congruent distortion class. The characterization of the congruent utility class or distortion class of (f,g) -utility and distorted stochastic dominance is investigated. Based on the main results in this paper, we unify some related results in the existing literature. As an application, we propose a general approach to develop a continuum between first-order stochastic dominance and second-order stochastic dominance based on the partial order.

     

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