This paper finds necessary and sufficient conditions of Nth-order stochastic dominance (SD) for risk aversion and develops linear tests for Nth-order SD. We introduce a linear FDSD (fourth-order SD and decreasing absolute risk aversion SD) test for standard risk aversion. A positive research...

We provide characterizations of preferences representable by a Cobb-Douglas utility function.

In most economics textbooks there is a gap between the non-existence of utility functions and the existence of continuous utility functions, although upper semi-continuity is sufficient for many purposes. Starting from a simple constructive approach for countable domains and combining this with...

We prove that a preference relation which is continuous on every straight line has a utility representation if its domain is a convex subset of a finite dimensional vector space. Our condition on the domain of a preference relation is stronger than Eilenberg (1941) and Debreu (1959, 1964), but...

Comonotonicity (''same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (''opposite variation''; abbreviated ''AC''), the natural counterpart to comonotonicity....

A seminal theorem due to Blackwell (1951) shows that every Bayesian decision-maker prefers an informative signal Y to another signal X if and only if Y is statistically sufficient for X. Sufficiency is an unduly strong requirement in most economic problems because it does not incorporate any...

This paper axiomatizes static and dynamic quantile preferences. Static quantile preferences specify that a prospect should be preferred if it has a higher τ-quantile, for some τ ∈ (0,1), while its dynamic counterpart extends this to take into account a sequence of decisions and information...

We study individual coherent preferences underlying asset prices and propose a set of explicit models for nonlinear V-shaped price pressure utility in a new framework. Coherent preferences are consistent interactive choices between momentum trading and reversal trading in stock market where...

The problem of demand inversion -- a crucial step in the estimation of randomutility discrete-choice models -- is equivalent to the determination of stable outcomes intwo-sided matching models. This equivalence applies to random utility models that are notnecessarily additive, smooth, nor even...

I examine the optimal portfolio allocation for investors with risk frequency preferences. As an implication, the portfolio opportunity set can be uniquely constructed from a set of basis frequency structures. Factor model representations represent restrictions on the frequency structure space,...