A note on relative efficiency and risk aversion

Jacob Paroush

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)277-280
Number of pages4
JournalJournal of Banking and Finance
Volume5
Issue number2
DOIs
StatePublished - Jun 1981

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