On the definition of risk aversion

Two definitions of risk aversion have recently been proposed for non-expected utility theories of choice under uncertainty: the former refers the measure of risk aversion (Montesano 1985, 1986 and 1988) directly to the risk premium (i.e. to the difference between the expected value of the action under consideration and its certainty equivalent); the latter defines risk aversion as a decreasing preference for an increasing risk (introduced as mean preserving spreads) (Chew, Karni and Safra 1987, Machina 1987, Röell 1987, Yaari 1987).When the von Neumann-Morgenstern utility function exists both these definitions indicate an agent as a risk averter if his or her utility function is concave. Consequently, the two definitions are equivalent. However, they are no longer equivalent when the von Neumann-Morgenstern utility function does not exist and a non-expected utility theory is assumed. Examples can be given which show how the risk aversion of the one definition can coexist with the risk attraction of the other. Indeed the two definitions consider two different questions: the risk premium definition specifically concerns risk aversion, while the mean preserving spreads definition concerns the increasing (with risk) risk aversion.The mean preserving spreads definition of risk aversion, i.e. the increasing (with risk) risk aversion, requires a special kind of concavity for the preference function (that the derivatives with respect to probabilities are concave in the respective consequences). The risk premium definition of local risk aversion requires that the probability distribution dominates on the average the distribution of the derivatives of the preference function with respect to consequences. Besides, when the local measure of the first order is zero, there is risk aversion according to the measure of the second order if the preference function is concave with respect to consequences.Yaari's (1969) measure of risk aversion is closely linked to the r.p. measure of the second order. Its sign does not indicate risk aversion (if positive) or attraction (if negative) when the measure of the first order is not zero (i.e., in Yaari's language, when subjective odds differ from the market odds).     

A tale of two tails: An alternative characterization of comparative risk

A characterization of comparative risk, parallel to but more restrictive than the Rothschild-Stiglitz (1970) characterization, is developed. As in Rothschild and Stiglitz, we develop a four-way characterization that consists of generating processes (a noise condition and generation by a sequence of special mean-preserving spreads), integral conditions, and preferences. The building blocks of this new order, Mean-preserving increases in risk about ν, where ν is any constant, are mean-preserving spreads whose centers have a nonempty intersection. If this intersection contains the mean of the distribution, the induced order, or mean-preserving increase in risk about the mean, conveys a particularly meaningful notion of an increase in risk as a buildup of the tails of the distribution.     

Mean utility preserving increases in risk for state dependent utility functions

This paper defines the concept of a mean utility preserving spread across states (MUPSAS) for state dependent utility functions and analyzes the behavioural impact of shifts in the probability distribution of wealth across states such that overall mean utility is preserved. The main result provides an alternative way of ranking state dependent utility functions according to their degree of risk aversion (thus extending Kami's theorem of comparative risk aversion) and establishes a link between increases in risk and risk aversion for state dependent preferences. In a portfolio problem where preferences and the rate of return of the risky venture are state dependent, we find sufficient conditions to determine the impact of a MUPSAS on the optimal share of the portfolio invested in the risky asset.

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Increasing Risk: Some Direct Constructions

This article extends the classic RothschildNStiglitz characterization of comparative risk ("increasing risk") in two directions. By adopting a more general definition of "mean preserving spread" (MPS), it provides a direct construction of a sequence of MPS's linking any pair of distributions that are ranked in terms of comparative risk. It also provides a direct, explicit construction of a zero-conditional-mean "noise" variable for any such pair of distributions. Both results are extended to the case of second order stochastic dominance.     

A Diamond-Stiglitz approach to the demand for self-protection

The existing research concerning the relationship between risk aversion and prudence and the demand for self-protection assumes that the loss variable follows a Bernoulli distribution, and that changes in the level of self-protection are mean preserving. The analysis here replaces these two very strong conditions with ones which are more general. When doing this, the method of analysis is also significantly modified. This modification includes representing a change in the level of self-protection using the procedure developed by Diamond and Stiglitz (Journal of Economic Theory 8:337-360, 1974) for representing a change in risk. This alternate representation allows the existing findings to be generalized considerably, and also simplifies the analysis.     

Mean-preserving changes in risk with tail-dominance

In this paper, we consider a class of mean preserving increases in risk such that all risk-averse decision makers respond to an increase in risk by reducing the level of their risky activities. The type of increase in risk that we consider is based on the notion of tail dominance which generalizes other cases previously discussed in the literature.L. Eeckhoudt is Professor of Economics at the Catholic Faculties of Mons (Belgium) and Lille (France). P. Hansen is Professor of Operations Research at Ecole des Hautes Etudes Commerciales, Montréal. Both authors have benefited from comments by P. Caperaa, G. Dionne, J. Meyer and H. Varian. They also thank A. Coopman who carefully reviewed and improved the English style.     

Two-parameter decision models and rank-dependent expected utility

This paper extends the existing literature concerning the relationship between two parameter decision models and those based on expected utility in two main directions. The first relaxes Meyer's location and scale (or Sinn's linear class) condition and shows that a two-parameter representation of preferences over uncertain prospects and the expected utility representation yield consistent rankings of random variables when the decision maker's choice set is restricted to random variables differing by mean shifts and monotone meanpreserving spreads. The second shows that the rank-dependent expected utility model is also consistent with two-parameter ranking methods if the probability transform satisfies certain dominance conditions. The main implication of these results is that the simple two-parameter model can be used to analyze the comparative statics properties of a wide variety of economic models, including those with multiple sources of uncertainty when the random variables are comonotonic. To illustrate this point, we apply our results to the problem of optimal portfolio investment with random initial wealth. We find that it is relatively easy to obtain strong global comparative statics results even if preferences do not satisfy the independence axiom.     

浅析社保基金入市实现基金增值

社会保障基金进入资本市场运营是其实现保值增值的重要途径。加强对社保基金入市的目标、投资管理方式、投资管理机构、投资工具以及监管模式的选择,坚持市场化运作,使社保基金有效地实现基金的保值增值,具有重大的战略意义。     

国有资产管理模式改革探讨

我国实行的国有资产分级管理模式存在着各级管理机构定位不清,国有资产管理机构职责不明,国企和非国企地位不明确等诸多问题,不符合WTO规则和市场经济发展的要求。国有资产管理应以实现国有资本的保值增值为目的。国有资产管理模式必须实现由国有资产管理向国有资本运营转变,实现向国有资产管理模式的“管资本”目标转变,使国有资本在扩张中能够保值增值。     

Preferences for information on probabilities versus prizes: The role of risk-taking attitudes

Many real-world decisions entail choices between information on either probabilities or payoffs (i.e., prizes). Simplified versions of such decisions are examined to gain insight into preferences for different types of information as a function of risk-attitudes. General and simple decision rules are derived for cases where the utility function is concave (or convex) over the relevant payoff interval.The article further describes several experiments to test business students' intuitions concerning these optimal decision rules. In general, risk-taking attitudes did not correlate significantly with subjects' preferences for information, in violation of theorems regarding mean-preserving spreads of risk. Other tests, e.g., narrowing certain probability ranges, also resulted in preferences contrary to expected utility (EU) theory.     

试析战后东南亚华侨社会变迁中的冷战因素

20世纪40年代末,随着中国革命走向胜利,冷战迅速向东南亚地区蔓延。遍布于东南亚的华侨开始进入西方战略家的视野,他们担心这些人会在中国共产党向南扩张时充当第五纵队。以美国为首的西方国家随即行动起来,通过各种方式切断华侨与祖国的联系。二战后,摆脱殖民统治的东南亚国家为了发展民族经济,巩固政治地位,普遍采取限制和排斥华侨的政策,表现出极强的民族利己主义。在这一过程中,冷战因素扮演着某种催化剂的作用,并在需要时成为方便的借口。国民党残余力量在逃到台湾后,也趁冷战的形势,以反共为名拉拢和控制东南亚华侨。在此种复杂局势下,大多数东南亚华侨出于生存的需要,最终选择归化于居住国,从而完成华侨史上最深刻、最激烈的变革。     

Achievable Hierarchies In Voting Games

Previous work by Diffo Lambo and Moulen [Theory and Decision 53, 313–325 (2002)] and Felsenthal and Machover [The Measurement of Voting Power, Edward Elgar Publishing Limited (1998)], shows that all swap preserving measures of voting power are ordinally equivalent on any swap robust simple voting game. Swap preserving measures include the Banzhaf, the Shapley–Shubik and other commonly used measures of a priori voting power. In this paper, we completely characterize the achievable hierarchies for any such measure on a swap robust simple voting game. Each possible hierarchy can be induced by a weighted voting game and we provide a constructive proof of this result. In particular, the strict hierarchy is always achievable as long as there are at least five players.     

试析满族歌谣的流变及表现形式

满族歌谣是满族民间文学的重要组成部分,是满族及其先人的口头诗歌创作。它以丰富的思想内容、独特的艺术风格、浓郁的民族特色在满族人民中世代流传。因此,我们可以通过满族歌谣的流变及其表现形式走近这个民族,对其做近距离的关照并与其对话。     

Popularity Contagion Among Adolescents

This study aimed to support the theory of popularity contagion, which posits that popularity spreads among friends spontaneously and regardless of behavioral changes. Peer nominations of status and behavior were collected annually between 6th and 12th grades from a total of 1062 adolescents. Longitudinal hypotheses were mostly supported using path analyses, showing (1) that individual popularity could be predicted by friends’ popularity levels over time, even when controlling for stability of individual popularity; (2) that this prediction was not accounted for by behavioral contagion of aggressive or prosocial behaviors; and (3) that individual social preference generally could not be predicted by friends’ preference levels over time. Implications, limitations, and directions for future research are discussed.     

An experimental investigation of risk sharing and adverse selection

Does adverse selection hamper the effectiveness of voluntary risk sharing? How do differences in risk profiles affect adverse selection? We experimentally investigate individuals’ willingness to share risks with others. Across treatments we vary how risk profiles differ between individuals. We find strong evidence for adverse selection if individuals’ risk profiles can be ranked according to first-order stochastic dominance and only little evidence for adverse selection if risk profiles can only be ranked according to mean-preserving spreads. We observe the same pattern also for anticipated adverse selection. These results suggest that the degree to which adverse selection erodes voluntary risk sharing arrangements crucially depends on the form of risk heterogeneity.     

`Sex-Equal' Stable Matchings

The paper defines a measure on the set of stable matchings in the marriage problem. This measure is based on the minimization of the envy difference between the sets of men and women, while preserving stability and selects stable matchings with the least conflict of interest between both groups of agents. The solution concept proposed is called Sex-equal Matching (SEM) and the paper also provides an algorithm to compute the set of SEM.     

The Role of Violence in Russian Business Relations

It is well known that the practice of coercion and violence is quite widespread in Russian economic relations. Economists consider it to be a harmful outgrowth that impedes the development of a "normal economy," and do not regard it as a topic of study, preserving the purity of their economic models and leaving "dirty matters" to the criminologists. But are the problems of violence so alien to us? After all, coercive measures have long since become an inalienable part of business activity.     

明清时期豫北地区移民问题探析——以山西洪洞大槐树移民传说为中心

山西洪洞大槐树移民传说,在整个北方地区流传甚广,人们普遍将其作为本族祖先的来源.通过对明清其他时期迁至豫北地区的移民进行具体考察,再结合豫北族谱、方志等地方性资料的分析,可以看出,山西洪洞大槐树移民传说的流传,不仅是移民们对其祖先历史集体记忆的反映,更为关键的是将祖先的历史定位于明初奉诏自山西洪洞迁移而来,从而使他们的合法身份得以确立,在居住地获取更多的生存资源,从而反映了移民宗族对保护与维护自己实际利益的诉求.     

确立"程序本位"理念的理论意义和实践意义

程序本位理念是指在诉讼活动中坚持以诉讼过程 ,而不是以诉讼结果为出发点和评价标准的理念。这个理念依据于程序自身的独立价值和过程本身对结果的有用性和有效性。之所以要在我国的理论研究和司法实践中树立程序本位的理念 ,是因为程序法治是现代法治的核心 ,程序本位连接了程序正义与实体正义 ;且有针砭时弊之效。当前坚持程序本位理念不仅具有纠正“重实体轻程序”的倾向 ,引进和传播程序过程、程序正义观念的理论意义 ,而且具有强调现代程序与现代法治之间的必然联系、推进当前我国审判方式改革的实践意义     

Aggregation of decomposable measures with application to utility theory

This paper investigates the eventwise aggregations of decomposable measures preserving the same decomposable property. These operations are obtained by solving a functional equation closely related to the bisymmetry property. Known results for probability as well as possibility measures can be derived as particular cases of our approach. In addition, the unicity of weighted consensus functions is proved in the Archimedean case. An extension of Von Neumann-Morgenstern utility theory is outlined, where probabilities are changed into decomposable measures.Supported in part by OTKA (National Scientific Research Fund, Hungary) I/6-14144, and by the Foundation for Hungarian Higher Education and Research 615/94.