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A ratio criterion for signing the effects of an increase in uncertainty. (English) Zbl 0679.90006

The authors consider the problem of maximizing expected utility E(u(X,b)) with respect to a real parameter b when there is an increase in risk, i.e., when the random variable X is substituted by another more dispersed one. The paper is based on work by J. Meyer and M. B. Ormiston [J. Econ. Theory 31, 153-169 (1983; Zbl 0519.90005)]. Further sufficient conditions are given such that an increase in risk results in a greater maximizing value of the parameter b.
Reviewer: K.Mosler

MSC:

91B16 Utility theory
91B06 Decision theory

Citations:

Zbl 0519.90005
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