The preservation of multivariate comparative statics in nonexpected utility theory
The preservation of multivariate comparative statics in nonexpected utility theory
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非预期效用理论中多元比较静态的保存
DOI：
10.1007/bf01064203
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发表时间：
1994
影响因子：
4.7
通讯作者：
Edward Schlee
中科院分区：
文献类型：
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作者：
Edward Schlee
本文研究了“平滑”非期望效用表示的多元期望效用比较静力值的保存。具体来说，我们回答了以下问题：如果预期效用比较静态属性仅取决于对确定前景的偏好，那么具有相同确定偏好的非预期效用最大化者何时也满足该属性？我们证明了风险厌恶增加的效应在“几乎退化独立性”公理下是保留的，但外生风险分布变化的效应在严格的假设下是不保留的。因此，非期望效用比较静力可能偏离期望效用，即使对于“一阶”属性——其影响可由“局部”效用函数的限制决定——也是如此。
This article investigates the preservation of multivariate expected utility comparative statics for “smooth” nonexpected utility representations. Specifically, we answer the following question: if an expected utility comparative statics property depends only on preferences over sure prospects, then when will a nonexpected utility maximizer with identical sure preferences also satisfy that property? We demonstrate that the effects of increased risk aversion are preserved under the “Almost Degenerate Independence” axiom, but that those of distribution changes of exogenous risks are not preserved under stringent assumptions. Hence, nonexpected utility comparative statics may diverge from expected utility, even for “first-order” properties—those whose effect is determinable from restrictions on “local” utility functions.
J.Am.Chem.Soc.109。
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