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.
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Bibliographic InfoPaper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3372263.
Date of creation: 2002
Date of revision:
Publication status: Published in Quarterly Journal of Economics -Cambridge Massachusetts-
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