Monotone comparative statics under uncertainty
Monotone comparative statics under uncertainty
复制标题
DOI：
10.1162/003355302753399481
复制
发表时间：
2002-02-01
影响因子：
13.7
通讯作者：
Athey, S
中科院分区：
文献类型：
--
作者：
Athey, S
本文分析了几类随机优化问题中的单调比较静态预测。主要结果基于原始函数（即效用函数和概率分布）的性质，刻画了比较静态预测成立的充分必要条件。当原始函数满足以下两个性质之一时，这些结果适用：（i）单交叉性质，它出现在诸如组合投资问题和拍卖等应用中；（ii）对数超模性，它出现在需求函数分析、关联随机变量、随机序以及风险厌恶序中。
This paper analyzes monotone comparative statics predictions in several classes of stochastic optimization problems. The main results characterize necessary and sufficient conditions for comparative statics predictions to hold based on properties of primitive functions, that is, utility functions and probability distributions. The results apply when the primitives satisfy one of the following two properties: (i) a single-crossing property, which arises in applications such as portfolio investment problems and auctions, or (ii) log-supermodularity, which arises in the analysis of demand functions, affiliated random variables, stochastic orders, and orders over risk aversion.