Playing it Safe: Actions Attractive to the Risk Averse
Fuente:
arXiv
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912911637610496 |
|---|---|
| author | Pease, Marilyn Whitmeyer, Mark |
| author_facet | Pease, Marilyn Whitmeyer, Mark |
| contents | We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a full characterization of this relation, show that it is equivalent to robust conceptions of single-crossing and second-order stochastic dominance, and reveal that in monotone decision problems it totally orders the decision-maker's set of actions. We discuss applications to games, insurance, investment hedging, and security design. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_17517 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Playing it Safe: Actions Attractive to the Risk Averse Pease, Marilyn Whitmeyer, Mark Theoretical Economics We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a full characterization of this relation, show that it is equivalent to robust conceptions of single-crossing and second-order stochastic dominance, and reveal that in monotone decision problems it totally orders the decision-maker's set of actions. We discuss applications to games, insurance, investment hedging, and security design. |
| title | Playing it Safe: Actions Attractive to the Risk Averse |
| topic | Theoretical Economics |
| url | https://arxiv.org/abs/2310.17517 |