A Behavioral Characterization of the Likelihood Ratio Order

2021 ◽  
Vol 3 (3) ◽  
pp. 353-366
Author(s):  
Maximilian Mihm ◽  
Lucas Siga
Keyword(s):  
Likelihood Ratio ◽  
Expected Utility ◽  
Stochastic Dominance ◽  
Likelihood Ratio Order ◽  
Finite Set ◽  
Behavioral Characterization

It is well known that stochastic dominance is equivalent to a unanimity property for monotone expected utilities. For lotteries over a finite set of prizes, we establish an analogous relationship between likelihood ratio dominance and monotone betweenness preferences, which are an important generalization of expected utility. (JEL D11, D44)

scholarly journals Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks

2008 ◽  
Vol 45 (01) ◽  
pp. 55-66 ◽  
Author(s):  
Ka Chun Cheung ◽  
Hailiang Yang
Keyword(s):  
Expected Utility ◽  
Optimal Portfolio ◽  
Stochastic Orders ◽  
Sufficient Condition ◽  
Likelihood Ratio Order ◽  
Portfolio Problem ◽  
Proposed Model ◽  
Special Cases ◽  
Optimal Allocations

In this paper we study a single-period optimal portfolio problem in which the aim of the investor is to maximize the expected utility. We assume that the return of every security in the market is a mixture of some common underlying source of risks. A sufficient condition to order the optimal allocations is obtained, and it is shown that several models studied in the literature before are special cases of the proposed model. In the course of the analysis concepts in stochastic orders are employed, and a new characterization of the likelihood ratio order is obtained.

scholarly journals Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks

2008 ◽  
Vol 45 (1) ◽  
pp. 55-66 ◽  
Author(s):  
Ka Chun Cheung ◽  
Hailiang Yang
Keyword(s):  
Expected Utility ◽  
Optimal Portfolio ◽  
Stochastic Orders ◽  
Sufficient Condition ◽  
Likelihood Ratio Order ◽  
Portfolio Problem ◽  
Proposed Model ◽  
Special Cases ◽  
Optimal Allocations

In this paper we study a single-period optimal portfolio problem in which the aim of the investor is to maximize the expected utility. We assume that the return of every security in the market is a mixture of some common underlying source of risks. A sufficient condition to order the optimal allocations is obtained, and it is shown that several models studied in the literature before are special cases of the proposed model. In the course of the analysis concepts in stochastic orders are employed, and a new characterization of the likelihood ratio order is obtained.

scholarly journals Stochastic monotonicity of dependent variables given their sum

Test ◽  
2021 ◽  
Author(s):  
Franco Pellerey ◽  
Jorge Navarro
Keyword(s):  
Likelihood Ratio ◽  
Random Variables ◽  
Monotonicity Property ◽  
Expected Value ◽  
Independent Random Variables ◽  
Likelihood Ratio Order ◽  
Stochastic Monotonicity ◽  
Dependent Variables ◽  
Finite Set

AbstractGiven a finite set of independent random variables, assume one can observe their sum, and denote with s its value. Efron in 1965, and Lehmann in 1966, described conditions on the involved variables such that each of them stochastically increases in the value s, i.e., such that the expected value of any non-decreasing function of the variable increases as s increases. In this paper, we investigate conditions such that this stochastic monotonicity property is satisfied when the assumption of independence is removed. Comparisons in the stronger likelihood ratio order are considered as well.

A Behavioral Characterization of Mice with Hippocampal Damage

2003 ◽  
Author(s):  
Rebecca F. Foltz ◽  
Maria M. Versluis ◽  
Mark E. Bardgett
Keyword(s):  
Hippocampal Damage ◽  
Behavioral Characterization

Pharmacological and behavioral characterization of cocaine-kindled seizures in mice

2000 ◽  
Vol 148 (1) ◽  
pp. 74-82 ◽  
Author(s):  
K. A. Miller ◽  
J. M. Witkin ◽  
J. T. Ungard ◽  
M. Gasior
Keyword(s):  
Kindled Seizures ◽  
Behavioral Characterization
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