| 翻訳と辞書 |
| stochastic dominance ： ウィキペディア英語版 |
stochastic dominance
Stochastic dominance〔Hadar, J., and Russell, W.,"Rules for Ordering Uncertain Prospects", ''American Economic Review'' 59, March 1969, 25-34.〕〔Bawa, Vijay S., "Optimal Rules for Ordering Uncertain Prospects," ''Journal of Financial Economics'' 2, 1975, 95-121.〕 is a form of stochastic ordering. The concept arises in decision theory and decision analysis in situations where one gamble (a probability distribution over possible outcomes, also known as prospects) can be ranked as superior to another gamble for a broad class of decision-makers. It is based on shared preferences regarding sets of possible outcomes and their associated probabilities. Only limited knowledge of preferences is required for determining dominance. Risk aversion is a factor only in second order stochastic dominance.
Stochastic dominance does not give a total order, but rather only a partial order: for some pairs of gambles, neither one stochastically dominates the other, since different members of the broad class of decision-makers will differ regarding which gamble is preferable without them generally being considered to be equally attractive.
A related concept not included under stochastic dominance is deterministic dominance, which occurs when the least preferable outcome of gamble A is more valuable than the most highly preferred outcome of gamble B.
==Statewise dominance==
The simplest case of stochastic dominance is statewise dominance (also known as state-by-state dominance), defined as follows: gamble A is statewise dominant over gamble B if A gives at least as good a result in every state (every possible set of outcomes), and a strictly better result in at least one state. For example, if a dollar is added to one or more prizes in a lottery, the new lottery statewise dominates the old one because it yields a better payout regardless of the specific numbers realized by the lottery. Similarly, if a risk insurance policy has a lower premium and a better coverage than another policy, then with or without damage, the outcome is better. Anyone who prefers more to less (in the standard terminology, anyone who has monotonically increasing preferences) will always prefer a statewise dominant gamble.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
■ウィキペディアで「stochastic dominance」の詳細全文を読む
スポンサード リンク
| 翻訳と辞書 : 翻訳のためのインターネットリソース |
Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.
|
|