文献类型：期刊文献

英文题名：Pessimistic Portfolio Choice with One Safe and One Risky Asset and Right Monotone Probability Difference Order

作者：Li, Jiangfeng[1];Wu, Qiong[2];Ye, Zhiqiang[3];Zhang, Shunming[4]

机构：[1]Xiamen Univ, Sch Math Sci, Xiamen 361005, Fujian, Peoples R China;[2]Jiujiang Univ, Sch Sci, Jiujiang, Jiangxi, Peoples R China;[3]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[4]Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China

年份：2013

卷号：2013

外文期刊名：MATHEMATICAL PROBLEMS IN ENGINEERING

收录：;EI(收录号：20140817346326);WOS:【SSCI(收录号:WOS:000328044700001)，SCI-EXPANDED(收录号:WOS:000328044700001)】；

基金：The authors are grateful for financial support from China National Funds for Distinguished Young Scientists 2008 (Grant 70825003) and National Natural Science Foundation of China (Grants 71261010 and 71273271). In addition, we also thank for the financial support of the Postdoctoral Science Foundation of Shanghai (Grant 12R21412700).

语种：英文

外文关键词：Risks

摘要：As is well known, a first-order dominant deterioration in risk does not necessarily cause a risk-averse investor to reduce his holdings of that deteriorated asset under the expected utility framework, even in the simplest portfolio setting with one safe asset and one risky asset. The purpose of this paper is to derive conditions on shifts in the distribution of the risky asset under which the counterintuitive conclusion above can be overthrown under the rank-dependent expected utility framework, a more general and prominent alternative of the expected utility. Two new criterions of changes in risk, named the monotone probability difference (MPD) and the rightmonotone probability difference (RMPD) order, are proposed, which is a particular case of the first stochastic dominance. The relationship among MPD, RMPD, and the other two important stochastic orders, monotone likelihood ratio (MLR) and monotone probability ratio (MPR), is examined. A desired comparative statics result is obtained when a shift in the distribution of the risky asset satisfies the RMPD criterion.