高阶Ross更加风险厌恶的一个比较刻画

A Comparative Characterization of Higher-order Ross More Risk Aversion

基于高阶的风险变化的风险补偿,提出了一个对高阶Ross更加风险厌恶程度的比较刻画.我们的结果表明:当风险F经过一个n阶风险增加变化到G时,决策者u相对于决策者v是n阶Ross更加风险厌恶的,当且仅当决策者u的风险补偿总是不小于决策者v的风险补偿;更一般地,当风险F经过一个n阶保前l(l≥2)阶矩随机占优变化到G时,决策者u相对于决策者v是k阶Ross更加风险厌恶的,k=l+1,…,n,当且仅当决策者u的风险补偿总是不小于决策者v的风险补偿.

Based on the risk compensation of higher-order risk changes, we propose a comparative characterization for higher-order Ross more risk aversion. Our result indicates that any increases in the nth degree risk incur the changes from F to G, u is nth degree Ross more risk averse than v if and only if the risk compensation is not less for u than for v. More generally, when any risk increases in the nth degree first l （1 〉 2） moments preserving stochastic dominance incur the changes from F to G, u is kth degree Ross more risk averse than v for k = 1 ＋ 1,..., n, if and only if the risk compensation is not less for u than for v.