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- W3164920376 abstract "We study risk effects, including higher-order risk effects, on optimal decision making in the linear-payoff model. This model includes the standard portfolio problem, the coinsurance problem, the problem of output choice with a risky price or a risky cost, and the problem of hedging a risky return as special cases. We distinguish between risk taking and risk mitigation and between uncertainty over a benefit and uncertainty over a cost. We identify restrictions on preferences for clear-cut comparative static effects of Nth-degree risk increases. For an uncertain benefit, the decision maker compensates increased risk by lowering exposure to risk; for an uncertain cost, the behavioral response depends on the parity of the order of the risk change. This is because only even-order risk changes increase the riskiness of terminal wealth while odd-order risk changes reduce it. To resolve this discrepancy, we introduce a new class of stochastic dominance relations that is suitable for uncertainty over a cost." @default.
- W3164920376 created "2021-06-07" @default.
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- W3164920376 date "2020-01-01" @default.
- W3164920376 modified "2023-10-17" @default.
- W3164920376 title "Risk Effects on Optimal Decision Making – A Question of the Right Order" @default.
- W3164920376 doi "https://doi.org/10.2139/ssrn.3585380" @default.
- W3164920376 hasPublicationYear "2020" @default.
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