Monotone additive statistics

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Tác giả: Xiaosheng Mu, Luciano Pomatto, Philipp Strack, Omer Tamuz

Ngôn ngữ: eng

Ký hiệu phân loại: 016.31 Bibliographies and catalogs of works on specific subjects or in specific disciplines

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 166128

Comment: 59 pages, two figuresThe expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a number of applications to models of individual and group decision-making. These include a representation of stationary monotone time preferences, extending the work of Fishburn and Rubinstein (1982) to time lotteries. This extension offers a new perspective on risk attitudes toward time, as well as on the aggregation of multiple discount factors. We also offer a novel class of nonexpected utility preferences over gambles which satisfy invariance to background risk as well as betweenness, but are versatile enough to capture mixed risk attitudes.
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