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Monotone Comparative Statics Under Uncertainty

  • Susan Athey

This 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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Article provided by MIT Press in its journal The Quarterly Journal of Economics.

Volume (Year): 117 (2002)
Issue (Month): 1 (February)
Pages: 187-223

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Handle: RePEc:tpr:qjecon:v:117:y:2002:i:1:p:187-223
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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Ignacio Esponda, 2008. "Behavioral Equilibrium in Economies with Adverse Selection," American Economic Review, American Economic Association, vol. 98(4), pages 1269-91, September.
  6. 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.
  7. 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.
  8. Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2002. "Moral Hazard and Capital Structure Dynamics," Penn CARESS Working Papers dfdfbbfe0a5b0e04217a58a93, Penn Economics Department.
  9. Ormiston, Michael B. & Schlee, Edward E., 1992. "Necessary conditions for comparative statics under uncertainty," Economics Letters, Elsevier, vol. 40(4), pages 429-434, December.
  10. 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.
  11. Jorge Ibarra-Salazar, 2005. "The Newsboy Model: Changes in Risk and Price," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 30(1), pages 99-109, June.
  12. 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.
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