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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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-
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Saak, Alexander, 2004.
"Spatial and Temporal Marketing Considerations Under Marketing Loan Programs,"
Staff General Research Papers
11884, Iowa State University, Department of Economics.
- Alexander E. Saak, 2003. "Spatial and Temporal Marketing Considerations under Marketing Loan Programs," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(4), pages 872-887.
- Ignacio Esponda, 2008. "Behavioral Equilibrium in Economies with Adverse Selection," American Economic Review, American Economic Association, vol. 98(4), pages 1269-91, September.
- Robert Chambers & J. Quiggin, 2008.
"Comparative statics for state-contingent technologies,"
Journal of Economics,
Springer, vol. 93(2), pages 203-214, March.
- Chambers, Robert G & Quiggin, John, 2003. "Comparative statics for state-contingent technologies," Risk and Sustainable Management Group Working Papers 150351, University of Queensland, School of Economics.
- John Quiggin & Robert G. Chambers, 2003. "Comparative statics for state-contingent technologies," Risk & Uncertainty Working Papers WPR03_5, Risk and Sustainable Management Group, University of Queensland.
- Jorge Ibarra-Salazar, 2005.
"The Newsboy Model: Changes in Risk and Price,"
The Geneva Risk and Insurance Review,
Palgrave Macmillan, vol. 30(1), pages 99-109, June.
- Paul R. Milgrom, 1981.
"Good News and Bad News: Representation Theorems and Applications,"
Bell Journal of Economics,
The RAND Corporation, vol. 12(2), pages 380-391, Autumn.
- Paul R. Milgrom, 1979. "Good Nevs and Bad News: Representation Theorems and Applications," Discussion Papers 407R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Jutta Roosen & David A. Hennessy, 2003.
"Tests for the Role of Risk Aversion on Input Use,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 85(1), pages 30-43.
- Roosen, Jutta & Hennessy, David A., 2003. "Tests for the Role of Risk Aversion on Input Use," Staff General Research Papers 10071, Iowa State University, Department of Economics.
- Roosen, Jutta & Hennessy, David A., 2001. "Tests For The Role Of Risk Aversion On Input Use," 2001 Annual meeting, August 5-8, Chicago, IL 20498, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Leonid Kogan & Stephen Ross & Jiang Wang & Mark Westerfield, 2003.
"The Price Impact and Survival of Irrational Traders,"
NBER Working Papers
9434, National Bureau of Economic Research, Inc.
- Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006. "The Price Impact and Survival of Irrational Traders," Journal of Finance, American Finance Association, vol. 61(1), pages 195-229, 02.
- Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003. "The Price Impact and Survival of Irrational Traders," Working papers 4293-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2003.
"Moral Hazard and Capital Structure Dynamics,"
Journal of the European Economic Association,
MIT Press, vol. 1(4), pages 890-930, 06.
- Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2003. "Moral Hazard and Capital Structure Dynamics," PIER Working Paper Archive 03-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Dewatripont, Mathias & Legros, Patrick & Matthews, Steven A, 2002. "Moral Hazard and Capital Structure Dynamics," CEPR Discussion Papers 3487, C.E.P.R. Discussion Papers.
- Mathias Dewatripont & Patrick Legros & Steven Matthews, 2003. "Moral hazard and capital structure dynamics," ULB Institutional Repository 2013/9629, ULB -- Universite Libre de Bruxelles.
- Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2002. "Moral Hazard and Capital Structure Dynamics," Penn CARESS Working Papers dfdfbbfe0a5b0e04217a58a93, Penn Economics Department.
- Ormiston Michael B. & Schlee Edward E., 1993. "Comparative Statics under Uncertainty for a Class of Economic Agents," Journal of Economic Theory, Elsevier, vol. 61(2), pages 412-422, December.
- Eeckhoudt, Louis & Gollier, Christian, 1995. "Demand for Risky Assets and the Monotone Probability Ratio Order," Journal of Risk and Uncertainty, Springer, vol. 11(2), pages 113-22, September.
- Ormiston, Michael B. & Schlee, Edward E., 1992. "Necessary conditions for comparative statics under uncertainty," Economics Letters, Elsevier, vol. 40(4), pages 429-434, December.
- Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Reinhard Engels).
If references are entirely missing, you can add them using this form.