Increasing Risk: Some Direct Constructions.

B-Tier
Journal: Journal of Risk and Uncertainty
Year: 1997
Volume: 14
Issue: 2
Pages: 103-27

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article extends the classic Rothschild-Stiglitz 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. Copyright 1997 by Kluwer Academic Publishers

Technical Details

RePEc Handle
repec:kap:jrisku:v:14:y:1997:i:2:p:103-27
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25