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Increasing Risk: Some Direct Constructions (1997)

MACHINA, MARK ; PRATT, JOHN

Springer

Journal of risk and uncertainty 14 (1997), S. 103-127

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ISSN: 1573-0476

Keywords: risk ; comparative risk ; increasing risk ; mean preserving spread ; noise ; stochastic dominance

Source: Springer Online Journal Archives 1860-2000

Topics: Economics

Notes: Abstract This article extends the classic RothschildNStiglitz characterization of comparative risk ("increasing risk") in two directions. By adopting a more general definition of "mean preserving spread" (MPS), it provides a direct construction of a sequence of MPS's linking any pair of distributions that are ranked in terms of comparative risk. It also provides a direct, explicit construction of a zero-conditional-mean "noise" variable for any such pair of distributions. Both results are extended to the case of second order stochastic dominance.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1023/A:1007719626543

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