THE GENERATING PROCESS AND AN EXTENSION OF JEWITT LOCATION INDEPENDENT RISK CONCEPT

Authors
LANDSBERGER M MEILIJSON I
Citation
M. Landsberger et I. Meilijson, THE GENERATING PROCESS AND AN EXTENSION OF JEWITT LOCATION INDEPENDENT RISK CONCEPT, Management science, 40(5), 1994, pp. 662-669
Citations number
10
Categorie Soggetti
Management,"Operatione Research & Management Science
Journal title
Management science → ACNP
ISSN journal
00251909
Volume
40
Issue
5
Year of publication
1994
Pages
662 - 669
Database
ISI
SICI code
0025-1909(1994)40:5<662:TGPAAE>2.0.ZU;2-A
Abstract
A generating process of Jewitt's location independent risk concept is derived in terms of left stretches based on single crossings between d istributions. For concave nondecreasing utility functions this stochas tic order preserves monotonicity between risk premium and the Arrow-Pr att measure of risk aversion. We show that a stronger order, the Bicke l-Lehmann notion of dispersion, preserves this monotonicity for the la rger class of nondecreasing utilities.