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      KCI등재 SSCI SCOPUS

      Comparative Statics under Uncertainty with the Monotone Likelihood Ratio Order

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      https://www.riss.kr/link?id=A104005881

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      다국어 초록 (Multilingual Abstract)

      In a simple two asset portfolio problem with one-risky and one-safe asset, Landsberger and Meilijson (1990) have shown that a monotone likelihood ratio (MLR) improvement of random returns of the risky asset increases the demand for the asset for all investors with non-decreasing utilities. However, their comparative static statement is made only for the simplest case where the payoff function is linear in both the choice and the random variable. This paper improves the robustness of their result in two ways. One is that the same comparative static statement can also be made for cases of non-linear payoffs. Another improvement is given by extending the admissible set of changes in randomness with the same utility settings. When the concerned payoff is linear in the choice variable, we show that the MLR order is unduly restrictive for the comparative static result and replace it with a more general type of change in randomness, called a “one-side monotone likelihood ratio with respect to a point.”
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      In a simple two asset portfolio problem with one-risky and one-safe asset, Landsberger and Meilijson (1990) have shown that a monotone likelihood ratio (MLR) improvement of random returns of the risky asset increases the demand for the asset for all i...

      In a simple two asset portfolio problem with one-risky and one-safe asset, Landsberger and Meilijson (1990) have shown that a monotone likelihood ratio (MLR) improvement of random returns of the risky asset increases the demand for the asset for all investors with non-decreasing utilities. However, their comparative static statement is made only for the simplest case where the payoff function is linear in both the choice and the random variable. This paper improves the robustness of their result in two ways. One is that the same comparative static statement can also be made for cases of non-linear payoffs. Another improvement is given by extending the admissible set of changes in randomness with the same utility settings. When the concerned payoff is linear in the choice variable, we show that the MLR order is unduly restrictive for the comparative static result and replace it with a more general type of change in randomness, called a “one-side monotone likelihood ratio with respect to a point.”

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      참고문헌 (Reference)

      1 Meyer, "The Comparative Statics of Cumulative Distribution Function Change for the Class of Risk Averse Agents Journal of Economic Theory" 153-169, 1983

      2 Fishburn, "Optimal Portfolio with One Safe and One Risky Asset Effects of Changes in Rate of Return and Risk" 1064-1073, 1976

      3 A, "On the Theory of the Competitive Firm under Price Uncertainty" 65-73, 1971

      4 Dionne, "Increases in Risk and Linear Payoffs" 309-319, 1993

      5 Landsberger, "Demand for Risky Financial Assets Journal of Economic Theory" 204-213, 1990

      6 Eeckhoudt, L., "Demand for Risky Assets and the Monotone Probability Ratio Order" 11 : 113-122, 1995

      7 Ormiston, "Comparative Statics under Uncertainty for a Class of Economic Agents Journal of Economic Theory" 412-422, 1993

      8 Kim, S, "Changing Distributions in the Strong Sense and Their Comparative Statics: A Ratio Approach" Michigan State University 1998

      9 Black, "A Ration Criterion for Signing the Effects of an Increase in Uncertainty" 119-130, 1989

      10 Katz, "A Note on a Comparative Statics Theorem for Choice under Risk Journal of Economic Theory" 318-319, 1981

      1 Meyer, "The Comparative Statics of Cumulative Distribution Function Change for the Class of Risk Averse Agents Journal of Economic Theory" 153-169, 1983

      2 Fishburn, "Optimal Portfolio with One Safe and One Risky Asset Effects of Changes in Rate of Return and Risk" 1064-1073, 1976

      3 A, "On the Theory of the Competitive Firm under Price Uncertainty" 65-73, 1971

      4 Dionne, "Increases in Risk and Linear Payoffs" 309-319, 1993

      5 Landsberger, "Demand for Risky Financial Assets Journal of Economic Theory" 204-213, 1990

      6 Eeckhoudt, L., "Demand for Risky Assets and the Monotone Probability Ratio Order" 11 : 113-122, 1995

      7 Ormiston, "Comparative Statics under Uncertainty for a Class of Economic Agents Journal of Economic Theory" 412-422, 1993

      8 Kim, S, "Changing Distributions in the Strong Sense and Their Comparative Statics: A Ratio Approach" Michigan State University 1998

      9 Black, "A Ration Criterion for Signing the Effects of an Increase in Uncertainty" 119-130, 1989

      10 Katz, "A Note on a Comparative Statics Theorem for Choice under Risk Journal of Economic Theory" 318-319, 1981

      11 Kraus, "A Comparative Statics Theorem for Choice under Risk Journal of Economic Theory" 510-517, 1979

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2023 평가예정 해외DB학술지평가 신청대상 (해외등재 학술지 평가)
      2020-01-01 평가 등재학술지 유지 (해외등재 학술지 평가) KCI등재
      2010-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2008-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2006-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2004-01-01 평가 등재 1차 FAIL (등재유지) KCI등재
      2001-07-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      1999-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.45 0.39 0.37
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.32 0.28 0.868 0
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