Związki miar awersji do ryzyka z funkcjami zależnymi od parametrów rozkładu

• Authors: Donata Kopańska-Bródka

Title variants

EN

Relations of Measures of Risk Aversion with the Functions Depended on the Parameters of the Probability Distribution

• Languages of publication: PL

Abstracts

EN

The expected utility model (EU) and the mean-variance model (M-V) are the most common approaches to analyzing choices under uncertainty. These two models produce the preference relations which are only consistent under additional restrictions. Although the mean-variance preferences has been important in financial economics, such a concept of risk is not consistent with others. However, the decision makers select alternatives by comparing their risk, and various risk measures are employed. The main aim of the paper is to compare various concepts of measure of risk aversion and present some conditions providing consistency in the two approaches.

Keywords

PL

Podejmowanie decyzji; Racjonalność; Ryzyko; Zmienne losowe

EN

Decision making; Random variable; Rationality; Risk

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 163
• Pages: 253-266

Contributors

author

Donata Kopańska-Bródka

References

• Chipman J.S.: The Ordering of Portfolios in Terms of Mean and Variance. "Review of Economic Study" 1973, Vol. 40(2), No. 122.
• Johnstone D.J., Lindley D.V.: Elementary Proof that Mean -Variance Implies Quadratic Utility. "Theory Decision" 2011, Vol. 70.
• Kimball M.: Precautionary Saving in the Small and in the Large. "Econometrica" 1990, Vol. 58 (1).
• Lajeri F., Nielsen L.T.: Parametric Characterizations of Risk Aversion and Prudence. "Economic Theory" 2000, Vol. 15.
• Lajeri-Chaherli F.: Proper and Standard Risk Aversion in Two-Moment Decision Models. "Theory and Decision" 2005, Vol. 57.
• Levy H., Markowitz H.: Approximating Expected Utility by a Function of Mean and Variance. "The American Economic Review" 1979, Vol. 69(3).
• Levy H.: Stochastic Dominance. Investment Decision Making under Uncertainty. Springer, 2006.
• Mayer J.: Two-Moment Decision Models and Expected Utility Maximization. "The American Economic Review" 1987, Vol. 77(3).
• Ogryczak W., Ruszczyński A.: Dual Stochastic Dominance and Quantile Risk Measures. "International Transaction in Operational Research" 2002, Vol. 9.
• Rothschild M., Stiglitza J.S.: Increasing Risk I. A Definition. "Journal of Economic Theory" 1970.
• Trzpiot G.: Dominacje w modelowaniu i analizie ryzyka. AE, Katowice 2006.
• Wagener A.: Prudence and Risk Vulnerability in Two-moment Decision Models. "Economics Letters" 2002, Vol. 74.

Identifiers

ISSN

2083-8611