Anticomonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity

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Tác giả: Giulio Principi, Peter P Wakker, Ruodu Wang

Ngôn ngữ: eng

Ký hiệu phân loại: 423.12 Dictionaries of standard English

Thông tin xuất bản: 2023

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 197718

 Comonotonicity (``same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (``opposite variation''
  abbreviated ``AC''), the natural counterpart to comonotonicity. It minimizes leveraging rather than hedging possibilities. Surprisingly, AC restrictions of several traditional axioms do not give new models. Instead, they strengthen the foundations of existing classical models: (a) linear functionals through Cauchy's equation
  (b) Anscombe-Aumann expected utility
  (c) as-if-risk-neutral pricing through no-arbitrage
  (d) de Finetti's bookmaking foundation of Bayesianism using subjective probabilities
  (e) risk aversion in Savage's subjective expected utility. In each case, our generalizations show where the critical tests of classical axioms lie: in the AC cases (maximal hedges). We next present examples where AC restrictions do essentially weaken existing axioms, and do provide new properties and new models.
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