Chapter

Preferences, Risk, and Stochastic Dominance

James Bergin

in Microeconomic Theory

Published in print May 2005 | ISBN: 9780199280292
Published online July 2005 | e-ISBN: 9780191602498 | DOI: http://dx.doi.org/10.1093/0199280290.003.0002
 Preferences, Risk, and Stochastic Dominance

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Focuses on preferences, attitude to risk and the ranking of risky returns. The state space model is discussed and related to risk aversion. First, second, and higher order stochastic dominance criteria are examined and related to the hazard function and the monotone likelihood ratio. Semi-deviation measures of risk are described.

Keywords: first and second order stochastic dominance; hazard functions; mean-preserving spreads; monotone likelihood ratio; risk aversion; the state preference model

Chapter.  10026 words.  Illustrated.

Subjects: Microeconomics

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