TY - JOUR
T1 - A note on relative efficiency and risk aversion
AU - Paroush, Jacob
PY - 1981/6
Y1 - 1981/6
N2 - Stochastic dominance rules have recently been suggested as criteria for efficient choice under uncertainty. However, the aspect of relative efficiency has been neglected, i.e., given any specific utility function u0, find the conditions imposed on F and G such that EFu≧EGu for all u ε{lunate} U (u0), where U(u0)={u| - u′/u′ ≥ - u″0/u′0}. This note suggests a necessary and sufficient condition for relative efficiency in the case that F and G cross other only once. Some applications are discussed.
AB - Stochastic dominance rules have recently been suggested as criteria for efficient choice under uncertainty. However, the aspect of relative efficiency has been neglected, i.e., given any specific utility function u0, find the conditions imposed on F and G such that EFu≧EGu for all u ε{lunate} U (u0), where U(u0)={u| - u′/u′ ≥ - u″0/u′0}. This note suggests a necessary and sufficient condition for relative efficiency in the case that F and G cross other only once. Some applications are discussed.
UR - http://www.scopus.com/inward/record.url?scp=49049149722&partnerID=8YFLogxK
U2 - 10.1016/0378-4266(81)90048-0
DO - 10.1016/0378-4266(81)90048-0
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AN - SCOPUS:49049149722
SN - 0378-4266
VL - 5
SP - 277
EP - 280
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 2
ER -