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dc.contributor.authorDana, Rose-Anne
dc.date.accessioned2011-07-15T12:13:41Z
dc.date.available2011-07-15T12:13:41Z
dc.date.issued2004
dc.identifier.issn0304-4068
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6697
dc.language.isoenen
dc.subjectMarket
dc.subjectBehavior
dc.subjectStochastic
dc.subject.ddc332en
dc.subject.classificationjelD5en
dc.titleMarket behavior when preferences are generated by second-order stochastic dominance
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe develop a theory of decision making and General Equilibrium for contingent markets when incomplete preferences are generated by second-order stochastic dominance (SSD). Demand, Pareto-optima and equilibria dominance are fully characterized. Demands and equilibrium allocations are non-increasing functions of the pricing density and Pareto-optimal allocations are comonotone. They generalize mean–variance demands and CAPM equilibrium allocations which are non-increasing affine functions of the pricing density. They are not observationally distinguishable from those of von-Neumann–Morgenstern decision makers with increasing strictly concave utilities nor from those of strict risk averse non-expected utility maximizers.We also show that expenditure functions associated to second-order stochastic dominance, provide microeconomic foundations for a class of law invariant risk-measures used in mathematical finance.
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol40
dc.relation.isversionofjnlissue6
dc.relation.isversionofjnldate2004
dc.relation.isversionofjnlpages619-639
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jmateco.2003.05.001
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-05-17T13:37:58Z


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