A Tale of Two Tails: An Alternative Characterization of Comparative Risk
AbstractA characterization of comparative risk, parallel to but more restrictive than the Rothschild-Stiglitz (1970) characterization, is developed. As in Rothschild and Stiglitz, we develop a four-way characterization that consists of generating processes (a noise condition and generation by a sequence of special mean-preserving spreads), integral conditions, and preferences. The building blocks of this new order, Mean-preserving increases in risk about v, where v is any constant, are mean-preserving spreads whose centers have a nonempty intersection. If this intersection contains the mean of the distribution, the induced order, or mean-preserving increase in risk about the mean, conveys a particularly meaningful notion of an increase in risk as a buildup of the tails of the distribution. Copyright 1990 by Kluwer Academic Publishers
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 3 (1990)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=100299
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Luís Santos-Pinto, 2009.
"Asymmetries in Information Processing in a Decision Theory Framework,"
Theory and Decision,
Springer, vol. 66(4), pages 317-343, April.
- Santos-Pinto, Luís, 2003. "Asymmetries in information processing in a decision theory framework," MPRA Paper 3146, University Library of Munich, Germany, revised 27 Apr 2007.
- Patrick Moyes, 2007. "An extended Gini approach to inequality measurement," Journal of Economic Inequality, Springer, vol. 5(3), pages 279-303, December.
- Harris Schlesinger & Christian Gollier, 2001.
"Changes in Risk and Asset Prices,"
CESifo Working Paper Series
443, CESifo Group Munich.
- Marta_Cardin & Paola_Ferretti, 2004. "Some theory of bivariate risk attitude," Game Theory and Information 0411009, EconWPA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.