Increasing Risk : Some Direct Constructions

This paper extends the classic Rothschild-Stiglitz characterization of comparative risk (quot;increasing riskquot;) in two directions. By adopting a more general definition of quot;mean preserving spread,quot; it provides a direct construction of a sequence of MPS's linking any pair of distributions that are ranked in terms of comparative risk. It also provides a direct, explicit construction of a zero- conditional-mean quot;noisequot; variable for any such pair of distributions. Both results are extended to the case of second order stochastic dominance

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Year of publication:	[2014]
Authors:	Machina, Mark J.
Other Persons:	Pratt, John W. (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]