风险爱好者、混合型风险爱好者和善与善相结合的偏好

Octave Jokung, Sovan Mitra
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引用次数: 0

摘要

本文研究了“爱冒险”的概念(即追求风险、放纵、急躁等),其特征可以是对简单彩票的偏好。本文分析了倾向于将好与好、坏与坏结合起来的概念,而不是像往常一样将好与坏结合在一起。这种偏好的意义对效用函数有影响,本文对此进行了分析。本文将Eeckhoudt和Schlesinger(2006)的结果推广到风险爱好者,Crainich等人(2013)的结果也推广到更高阶。我们还将Richard(1975)提出的双变量风险寻求的概念推广到更高阶,Epstein和Tanny(1980)称之为相关性偏好。在期望效用框架中,阶(N,M)的风险偏好与效用函数第(N,M)阶偏导数的非负性一致。在处理混合风险偏好效用函数时,我们给出了几个有用的性质,例如,混合风险偏好与正指数效用的混合一致,并且与任何阶次的绝对风险厌恶系数不递增一致。
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Risk lovers, mixed risk loving and the preference to combine good with good
This paper examines the concept of 'risk loving' (that is risk seeking, intemperance, edginess, etc.), which can be characterised by preferences over simple lotteries. This paper analyses the notion of preferring to combine good with good, and bad with bad, as opposed to combining good with bad as usual. The significance of such preferences has implications on utility functions and are analysed in the paper. This paper extends Eeckhoudt and Schlesinger (2006) results to risk lovers, the results from Crainich et al. (2013) are also generalised to higher orders. We also generalise to higher orders the concept of bivariate risk seeking, introduced by Richard (1975) and called correlation loving by Epstein and Tanny (1980). In the expected utility framework, risk loving of order (N, M) coincides with the non-negativity of the (N, M)th partial derivative of the utility function. In dealing with mixed risk loving utility functions, we give several useful properties, for example, mixed risk loving is consistent with the mixture of positive exponential utilities and with non-increasing coefficients of absolute risk aversion at any order.
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来源期刊
International Journal of Applied Management Science
International Journal of Applied Management Science Business, Management and Accounting-Strategy and Management
CiteScore
1.20
自引率
0.00%
发文量
21
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