Monotone Comparative Statics Under Uncertainty
AbstractThis paper analyzes monotone comparative statics predictions in several classes of stochastic optimization problems. The main results characterize necessary and sufficient conditions for comparative statics predictions to hold based on properties of primitive functions, that is, utility functions and probability distributions. The results apply when the primitives satisfy one of the following two properties: (i) a single-crossing property, which arises in applications such as portfolio investment problems and auctions, or (ii) log-supermodularity, which arises in the analysis of demand functions, affiliated random variables, stochastic orders, and orders over risk aversion. © 2001 the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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Bibliographic InfoArticle provided by MIT Press in its journal The Quarterly Journal of Economics.
Volume (Year): 117 (2002)
Issue (Month): 1 (February)
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