Increasing Risk: Dynamic Mean-Preserving Spreads

We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean-Preserving Spreads to a dynamic framework. We adapt the original integral conditions to transition probability densities, and give sufficient conditions for their satisfaction. We then prove that a specific nonlinear scalar d...

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Veröffentlicht in:	arXiv.org 2018-03
Hauptverfasser:	Arcand, Jean-Louis, Max-Olivier Hongler, Rinaldo, Daniele
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic analysis Economic models Integrals Markov processes Random noise Superposition (mathematics) Transition probabilities
Online-Zugang:	Volltext
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