The Comparative Statics for the Subset of Second-Degree Stochastic Dominance Changes under Risk Aversion

국문 초록 (Abstract)

본 논문은 2차 확률우위 변화의 부분집합인 Rothschild-Stiglitz의 위험의 감소 유형의 특수한 경우를 도입하고 이에 필요한 누적분포함수 간의 제약을 검토하여, 의사결정자들의 최적 의사결정에 어떻게 영향을 미쳤는지를 살펴보기 위해 비교정태분석을 행한다. 이러한 누적분포함수 변화의 경우, 기대효용을 극대화하는 위험기피자들은 그들의 최적 선택변수의 수준을 증가시킨다. 또한 본 논문은 비교정태분석 결과로부터 도출된 경제모형과 의사결정자들의 선호에 관한 특성에 대해 논한다. 특히 의사결정자들의 선호에 대해서는 위험에 대한 합리적인 태도로 여겨지는 절대위험회피 감소(decreasing absolute risk aversion)과 상대위험회피 증가(increasing relative risk aversion)은 비교정태분석을 분석을 위한 충분조건이다.

다국어 초록 (Multilingual Abstract)

This paper identifies the special type of SSD shift and investigates restrictions in a very strong sense on a R-S decrease in risk which is the subset of SSD. We carry out its comparative static analysis for the decision maker. The risk averse decision maker, maximizing the expected value of utility u (z (a, x)), increases the optimal level of the (nonnegative) choice variable. We also discuss the properties of decision models and preferences derived from its comparative statics result. For the preferences of the decision makers, decreasing absolute risk aversion (DARA) and increasing relative risk aversion (IRRA) generally accepted as a reasonable attitude toward risk are sufficient.

목차 (Table of Contents)

• Abstract
• I . Introduction
• II. The Comparative Static Analysis for the SSD Case
• III. Concluding Remarks
• References
• 국문요약

참고문헌 (Reference)

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