SSRN Author: David B. Brown
http://www.ssrn.com/author=827439
David B. Brown SSRN Contenten-usThu, 16 Feb 2012 01:46:20 ESTThu, 16 Feb 2012 01:46:20 ESThttp://www.ssrn.com/rss/SSRN RSS Generator 1.0editor@ssrn.com (Editor)webmaster@ssrn.com (WebMaster)New: Aspirational Preferences and Their Representation by Risk Measures (Online Appendix)
http://www.ssrn.com/abstract=2005194
We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts, over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choWed, 15 Feb 2012 00:00:00 ESThttp://www.ssrn.com/abstract=20051941REVISION: Aspirational Preferences and Their Representation by Risk Measures
http://www.ssrn.com/abstract=1406399
We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts, over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choWed, 15 Feb 2012 00:00:00 ESThttp://www.ssrn.com/abstract=14063992REVISION: Aspirational Preferences and Their Representation by Risk Measures
http://www.ssrn.com/abstract=1406399
We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts, over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choTue, 17 Jan 2012 00:00:00 ESThttp://www.ssrn.com/abstract=14063993REVISION: Dual Representation of Choice and Aspirational Preferences
http://www.ssrn.com/abstract=1406399
We consider choice over a set of monetary acts and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts, over which concentration is instead preferred. This structure encompasses a number of known models, such as expected utility theory, maxmin utility theory, and convex risk measures. We show that such preferences share a dual representation in terms of a family of measures of risk and a target function. SpecificFri, 01 Jul 2011 00:00:00 EDThttp://www.ssrn.com/abstract=14063994REVISION: Dual Representation of Choice and Aspirational Preferences
http://www.ssrn.com/abstract=1406399
We consider choice over a set of monetary acts (random variables) and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts, over which concentration is instead preferred. This structure encompasses a number of known models in this setting. We show that such preferences can be expressed in dual form in terms of a family of measures of risk and a target function. Specifically, the choice function is equivalent to seFri, 11 Mar 2011 00:00:00 ESThttp://www.ssrn.com/abstract=14063995