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346 REVIEW OF ECONOMIC STUDIES [16] Pratt, J. W. " Risk Aversion in the Small and Large ", Econometrica (January- April 1964), pp. 122-136. [17] Pratt, Raiffa and Schlaifer. Introduction to Statistical Decision Theory (McGraw- Hill (Preliminary Edition) 1968). [18] Quirk, J. P. and Saposnik, R. " Admissibility and Measurable Utility Functions ", Review of Economic Studies (1962). [19] Sharpe, W. F. " Capital Assets Prices: A Theory of Market Equilibrium under Conditions of Risk ", Journal of Finance (1964), pp. 425-442. [20] Tobin, J. " Liquidity Preference as Behaviour Towards Risk ", Review of Economic Studies, 25 (1957-58), 65-68. [21] Von Neumann, J. and Morgenstern, O. Theory of Games and Economic Behaviour (Princeton University Press, Princeton, N.J., Third Edition 1953). [22] Yaari, M. E. " Convexity in the Theory of Choice under Risk ", The Quarterly Journal of Economics, 79 (May 1965), No. 2, 278-290. PART II. QUALITATIVE ECONOMIC RESULTS
A Unified Approach to Stochastic Dominance S. L. Brumelle . R. G. Vickson and UNIVERSITY OF BRITISH COLUMBIA UNIVERSITY OF WATERLOO I. Introduction to Stochastic Dominance The fundamental problem facing an investor may be viewed as that of choice between two investment alternatives with random returns X and Y. For an expected utility maximizer with known utility function u, X is preferred to Y if Eu(X) 2: Eu(Y). However, it is difficult in practice to find an investor's utility function. Accordingly, it would be most useful to know whether Xis preferred to Y by all investors with utility functions u in some general class U. This approach to the problem of choice seeks to characterize the investor's utility function only in terms of its general properties (e.g., monotonicity, concavity) rather than its specific numerical values. For purposes of portfolio theory, the class of increasing concave utility functions is of special importance, since it characterizes risk-averse investors. Given a class U of utility functions, X is said to (stochastically) dominate Y if Eu(X) ^ Eu(Y) for all ue U. The stochastic dominance relation over U thus partially orders the set of random variables. With each random variable X, there is a distribution function F(x) = P\_X^ x], and a probability measure \i defined by [t{[X^ x]} = F(x). It is convenient to use the notation fi(f) to denote Ef(X). That is, n (/) = Ef{X) = $Kf(x)dF(x). The distribution function of the random variable Y will be denoted by G and the corresponding measure by v so that v(f) = Ef(Y) = $Rf(y)dG(y). The previous definition can be restated in the new notation: X dominates Y (with respect to U) if and only if fi{f) ^ v(/) for each/e U for which fi(f) and v(f) exist. One advantage of the notation fi (f) over Ef(X) is the resulting similarity with pointwise ordering of functions. Since integration is a linear operation, X(af+bg) = aX(f) + bX(g) for a,b e R and any probability measure A. Thus, n(f) ^ v(/) for each/e U if and only if /*(/) ^ v(/) for each/e c(U) where c(U) denotes all nonnegative linear combinations of functions in U, that is, the convex cone generated by U. Also, if/„->/in an appropriate manner so that n(f„)-*n(f) and v(/„) -> v(/), and if/„ e U for each n, then fi(f) ^ v(/). Thus, in some cases c(U) can be further extended to its closure under limits. For example, if all 1. <strong>STOCHASTIC</strong> DOMINANCE 101
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STOCHASTIC OPTIMIZATION MODELS IN F
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STOCHASTIC OPTIMIZATION MODELS IN F
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Dedicated to the memory of my fathe
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PART II. QUALITATIVE ECONOMIC RESUL
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2. Risk Aversion over Time Implies
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PREFACE AND BRIEF NOTES TO THE 2006
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and shows that current research in
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1990. This area presages the CVaR l
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transaction cost band. Most such mo
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through targets and are less sensit
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ing dates, the papers by Breiman, H
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Carino, D. and W.T. Ziemba (1998).
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Kallberg, J.G. and W.T. Ziemba (198
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Stone, D. and W.T. Ziemba (1993). L
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PREFACE IN 1975 EDITION There is no
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particular results are generally st
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Part I Mathematical Tools
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wealth, then his utility function m
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cases in Exercise CR-12. The relati
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However, some extensions to infinit
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1. EXPECTED UTILITY THEORY The Anna
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SUBJECTIVE PROBABILITIES ANT EXPECT
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SUBJECTIVE PROBABILITIES AND EXPECT
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282 O. L. MANGA3ARIAN" for every X
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284 O. L. MANGASARIAN We have from
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280 O. L. MANQASARIAN For the case
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288 O. L. MANGASAMAN Proof. Conside
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290 O. L. MANGASARIAN Second Berkel
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denotes the /w-dimensional vector o
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Proof (I) We shall prove this part
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(Ill) have not, to the author's kno
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for the case (3); and for the case
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3. DYNAMIC PROGRAMMING Introduction
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INTRODUCTION TO DYNAMIC PROGRAMMING
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INTRODUCTION TO DYNAMIC PROGRAMMING
Page 85 and 86: INTRODUCTION TO DYNAMIC PROGRAMMING
Page 93 and 94: COMPUTATIONAL AND REVIEW EXERCISES
Page 95 and 96: (d) xxx2 on E+ 2 = {x\xt = 0, x2 S
Page 97 and 98: Show that the Kuhn-Tucker condition
Page 99 and 100: (a) Show that/, (b, c) = gt (Z>, c)
Page 101: (c) Show that the monotonicity assu
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Page 106 and 107: 12. (Hessians, bordered Hessians, c
Page 108 and 109: The problem in (b)-(c) hints that t
Page 110 and 111: (1) Suppose/is twice continuously d
Page 112 and 113: (f) Assume that R(i,a) g 0 and the
Page 114 and 115: (j) Show that an optimal policy Va
Page 117 and 118: INTRODUCTION In the second part of
Page 119 and 120: andom variables when the utility fu
Page 121 and 122: detailed analysis of the qualitativ
Page 123 and 124: separation in a local sense (for al
Page 125 and 126: 1. STOCHASTIC DOMINANCE G. Hanoch a
Page 127 and 128: But now, EFFICIENCY ANALYSIS OF CHO
Page 129 and 130: EFFICIENCY ANALYSIS OF CHOICES INVO
Page 135: EFFICIENCY ANALYSIS OF CHOICES INVO
Page 139 and 140: A UNIFIED APPROACH TO STOCHASTIC DO
Page 149: A UNIFIED APPROACH TO STOCHASTIC DO
Page 152 and 153: RISK AVERSION 123 a given risk the
Page 154 and 155: RISK AVERSION 125 If z is actuarial
Page 156 and 157: RISK AVERSION 127 4. CONCAVITY The
Page 158 and 159: To show that (a) implies (d), note
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Page 162 and 163: 9.2. Example 2. If (30) u'(x)=(x°
Page 164 and 165: RISK AVERSION 135 12. INCREASING AN
Page 166 and 167: ADDENDUM In retrospect, 1 wish foot
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32 THE REVIEW OF ECONOMICS AND STAT
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Separation in Portfolio Analysis R.
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SEPARATION IN PORTFOLIO ANALYSIS an
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SEPARATION IN PORTFOLIO ANALYSIS II
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SEPARATION IN PORTFOLIO ANALYSIS Th
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SEPARATION IN PORTFOLIO ANALYSIS Ca
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SEPARATION IN PORTFOLIO ANALYSIS It
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SEPARATION IN PORTFOLIO ANALYSIS th
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COMPUTATIONAL AND REVIEW EXERCISES
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7. Consider an investor having the
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Then eliminate p from (2) to obtain
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(a) Show that an indifference curve
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(d) Develop a similar result to (c)
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Exercise Source Notes Exercise 1 wa
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(f) Show that k > 0. [Note (Exercis
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(c) Interpret (b). (d) Illustrate s
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9. Let the partial relative risk-av
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Condition (iv) is called the "no-ea
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Then * ( 8xj \ V - s u = \-r-\ -ax,
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exhibiting decreasing absolute and
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(a) Determine necessary and suffici
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Let the random variables Og^Sl and
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Part III Static Portfolio Selection
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given parameter. Exercise ME-30 dev
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utility function. However, many con
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the characteristic exponent is 2 (i
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proportions to maximize expected ut
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investment returns are always nonne
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case to a case of one riskless and
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538 REVIEW OF ECONOMIC STUDIES Howe
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540 REVIEW OF ECONOMIC STUDIES wher
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542 REVIEW OF ECONOMIC STUDIES expa
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JAMES A. OHLSON that quadratic util
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JAMES A. OHLSON Assumptions A1-A3 a
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JAMES A. OHLSON (i) snpl/ieSi\U (3)
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JAMES A. OHLSON A number of interes
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JAMES A. OHLSON for all y,teSx'3C{Q
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Since Z"=o^( w »0 = 0 and/(«,«)
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JAMES A. OHLSON analysis here is "o
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Choosing Investment Portfolios When
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CHOOSING INVESTMENT PORTFOLIOS univ
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CHOOSING INVESTMENT PORTFOLIOS The/
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CHOOSING INVESTMENT PORTFOLIOS Tobi
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CHOOSING INVESTMENT PORTFOLIOS a-di
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CHOOSING INVESTMENT PORTFOLIOS Henc
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CHOOSING INVESTMENT PORTFOLIOS Lemm
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CHOOSING INVESTMENT PORTFOLIOS ID.
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CHOOSING INVESTMENT PORTFOLIOS Proo
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CHOOSING INVESTMENT PORTFOLIOS is c
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CHOOSING INVESTMENT PORTFOLIOS Proo
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CHOOSING INVESTMENT PORTFOLIOS 3. C
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2. EXISTENCE AND DIVERSIFICATION OF
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ON THE EXISTENCE OF OPTIMAL POLICIE
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Reprinted from Journal of Financial
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Remarks: Differentiability assumpti
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distributed from the rest. Then an
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x * "22 "12 1 " (o22- a12) + (0n -
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to decline — as if having more mo
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solved for as a function 8.(y,0"),
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FOOTNOTES 1. H. Makower and J. Mars
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264 QUARTERLY JOURNAL OF ECONOMICS
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274 QUARTERLY JOURNAL OP ECONOMICS
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280 QVABTBRLY JOURNAL OF ECONOMICS
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Reprinted from THE REVIEW OF ECONOM
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(1.1) and (1.2) give SOME EFFECTS O
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SOME EFFECTS OF TAXES ON RISK-TAKIN
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REFERENCES SOME EFFECTS OF TAXES ON
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COMPUTATIONAL AND REVIEW EXERCISES
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and a gamble is offered that return
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among two risky assets and a riskle
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Consider problem (1) and suppose th
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21. Let pi,...,p„ be joint-normal
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Consider the following four utility
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4. In most stochastic optimizing mo
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(g) Discuss the use of semivariance
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(a) Suppose that the investor alloc
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The linear programming subproblems
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(f) Show that (j> is proportional t
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(e) Show that X has mean and varian
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(i) Show that for all Aru ...,km, t
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Some properties of the expected val
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(i) Suppose that V0 is positive def
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where V is the gradient operator an
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and where Z, Ylt...,Ym are independ
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INTRODUCTION This part of the book
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some qualitative characteristics of
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function of wealth. Hence the optim
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INVESTMENT ANALYSIS UNDER UNCERTAIN
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P if and only if INVESTMENT ANALYSI
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INVESTMENT ANALYSIS UNDEB UNCERTAIN
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2. RISK AVERSION OVER TIME IMPLIES
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ables at t, and the primed variable
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ehavior in choosing among timeless
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is to asume that the consumer behav
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The function t/,(C,_,, wt|a,, ft) i
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sumption, given state j3,+i at r+l,
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3. MYOPIC PORTFOLIO POLICIES Reprin
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326 THE JOURNAL OF BUSINESS this op
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328 THE JOURNAL OF BUSINESS with th
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330 THE JOURNAL OF BUSINESS In sum
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332 THE JOURNAL OF BUSINESS subject
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334 THE JOURNAL OF BUSINESS myopic
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where and k" 1 f (Mt-Ui) 2 4k {Oi 1
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MIND-EXPANDING EXERCISES 1. Conside
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(i.e., partial separability) and #,
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(c) Discuss the solution properties
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(d) By differentiating (cl) and (c2
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Let U be the utility function for t
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INTRODUCTION I. Two-Period Consumpt
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asked to develop explicit solutions
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that the property of nonincreasing
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The Hakansson paper studies a gener
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In the Samuelson-Hakansson additive
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techniques. The article by Breiman
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enously). These requirements are to
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in general, a monotonic function of
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ergodic theory, the book by Breiman
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or less than u; either do nothing o
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ME-24 the reader is invited to cons
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In discrete time, a nonnegative lin
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R. G. VICKSON This must not be inte
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This gives with R. G. VICKSON t(t)
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TWO-PERIOD CONSUMPTION MODELS AND P
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310 DRfeZE AND MODIGLIANI second or
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312 DREZE AND MODIGLIANI Had the sa
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314 DRfezE AND MODIGLIANI (— U^U^
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316 DREZE AND MODIGLIANI ure for te
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318 DREZE AND MODIGLIANI income sid
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320 DREZE AND MODIGLIANI (3.5) The
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322 DREZE AND MODIGLIANI Consumptio
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324 DREZE AND MODIGLIANI in (cj, c2
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326 DREZE AND MODIGLIANI Since d^Uj
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328 DREZE AND MODIGLIANI On the rig
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330 DRfeZE AND MODIGLIANI and its p
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332 DREZE AND M0DIGLIAN1 LEMMA C.2.
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334 DRfeZE AND MOD1GLIANI if the sm
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MANAGEMENT SCIENCE Vol. 19, No. 2,
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A DYNAMIC MODEL FOR BOND PORTFOLIO
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Maximize A DYNAMIC MODEL FOE BOND P
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MULTIPERIOD RISK PREFERENCE 41 mode
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MULTIPERIOD RISK PREFERENCE 43 The
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MULT1PERI0D RISK PREFERENCE between
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MULTIPERIOD RISK PREFERENCE 47 (ii)
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MULTIPERIOD RISK PREFERENCE 49 that
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or if s"(s' MULTIPERIOD RISK PREFER
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MULTIPERIOD RISK PREFERENCE 53 5. C
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Reprinted from The Review of Econom
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the risky asset, with 1 — w, goin
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w*t = glW,;Z,-1,...,Z0] = gT_i[W>]
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Since proof of the theorem is strai
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E C O N O M E T R I C A VOLUME 38 S
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OPTIMAL INVESTMENT 589 M: the numbe
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OPTIMAL INVESTMENT 591 For comparis
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(ii) in the case of Model III, 1 1
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Let Then OPTIMAL INVESTMENT 595 *.=
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where OPTIMAL INVESTMENT 597 (41) T
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where (54) T(x) = sup \ log c + log
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where b(v*) is the greatest lower b
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OPTIMAL INVESTMENT 603 noncapital i
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OPTIMAL INVESTMENT 605 Let us now t
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OPTIMAL INVESTMENT 607 REFERENCES [
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present value. Let ( be time, r the
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constant or decrease at a constant
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Denote the vector in the parenthese
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112 HOWARD M. TAYLOB easy to pictur
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114 HOWARD M. TAYLOR market and ign
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116 HOWARD M. TAYLOR the investor w
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118 HOWARD M. TAYLOR option which a
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120 HOWARD M. TAYLOR 3. BR.VDA, J.
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172 BASIL A. KALYMON more general p
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174 BASIL A. KALYMON The three case
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176 BASIL A. KALYMON an additional
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178 BASIL A. KALYMON (24) d\ = r -
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180 BASIL A. KALYMON The above resu
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182 BASIL A. KALYMON PROOF. First w
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MANAGEMENT SCIENCE Vol. 17, No. 7,
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M1NIMAX POLICIES FOB SELLING AN ASS
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MINIMAX POLICIES FOB SELLING AN ASS
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MINIMAX POLICIES FOR SELLING AN ASS
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MINIMAX POLICIES TOR SELLING AN ASS
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MINIMAX POLICIES FOB SELLING AN ASS
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648 L. BREIMAN We have discussed th
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650 L. BREIMAN Hence, it is suffici
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(a.s.) on the set lim XN < oo > u <
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EDWARD O. THORP method to this arti
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EDWARD O. THORP drastic simplificat
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EDWARD O. THORP us is that the prop
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EDWARD O. THORP Let the range of Rj
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EDWARD O. THORP is approximately on
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EDWARD O. THORP choosing P in repea
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EDWARD O. THORP return from the hed
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EDWARD O. THORP it is plausible to
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EDWARD O. THORP is maximization of
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EDWARD O. THORP 6. BREIMAN, L., "Op
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Reprinted from JOURNAL OF ECONOMIC
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CONSUMPTION AND PORTFOLIO RULES 375
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and CONSUMPTION AND PORTFOLIO RULES
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CONSUMPTION AND PORTFOLIO RULES giv
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Yin CONSUMPTION AND PORTFOLIO RULES
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Y(t) Y CONSUMPTION AND PORTFOLIO RU
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(d) Suppose n > r2. Formulate the o
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(j) Show that the absolute risk-ave
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The optimal first-period decision a
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(b) Show that the optimal policy in
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the game is stationary and favorabl
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(v) UHEV-E^CV-Af- 1 )^ w, V&0, w>0,
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MIND-EXPANDING EXERCISES 1. Conside
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Note the following distinction betw
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(e) Discuss the computational aspec
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(a) Show that U obeys the functiona
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(g) If ;ij(0) > 0 (1 g; g N), show
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Note that problem P2 has 3(N- 1)+1
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Note that (f) and (g) imply the exi
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P = (Pu), where pu = P[X„+l =j\ X
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(a) Show that {X„} is a stationar
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(b) Show that T T u = a + b Y[ c\'
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(b) Interpret this assumption. Is i
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(d) Show that (c) may be written as
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Bibliography Journal Abbreviations
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BHARUCHA-REID, A. T. (1960). Elemen
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FIACCO, A. V., and MCCORMICK, G. P.
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IGLEHART, D. (1965). "Capital accum
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MANGASARIAN, O. L. (1966). "Suffici
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PORTEUS, E. L. (1972). "Equivalent
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THOMASION, A. J. (1969). The Struct
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A Absolute risk aversion, 84, 85, 9
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Logarithmic utility functions, see
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V Value of information, 462-467, 68
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