Changing in Risk and Risk Taking: A Survey
Changing in Risk and Risk Taking: A Survey
复制标题
风险和承担风险的变化：一项调查
DOI：
--
复制
发表时间：
1997
期刊：
影响因子：
--
通讯作者：
C. Gollier
中科院分区：
文献类型：
--
作者：
L. Eeckhoudt;C. Gollier
我们研究了不确定性下的一类重要决策问题，其中涉及标准投资组合问题和共同保险需求。代理人面临可控风险（例如他对风险资产的需求）和背景风险。我们确定这两种风险之一的分布变化如何影响可控风险的最佳暴露。对一阶和二阶随机主导阶的限制通常是产生明确的比较静态属性所必需的。我们还提出了另一项研究，其中对偏好而不是随机支配顺序进行了限制。
We examine an important class of decision problem under uncertainty that entails the standarrd portfolio problem and the demand for coinsurance. The agent faces a controllable risk -his demand for a risky asset for example- and a background risk. We determine how a change in the distribution in one of these two risks affects the optimal exposure to thecontrollable risk. Restrictions to first order and scond order stochastic dominant orders are in general necessary to yield an unambiguous comparative statics property. We also present another line of research in which restrictions are made on preferences rather on stochastic dominance orders.