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Increasing Risk: Dynamic Mean-Preserving...

Arcand, Jean-Louis...

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Increasing Risk: Dynamic Mean-Preserving Spreads by Arcand, Jean-Louis ( Author )

Content Provider	Lemonjar Open Access
Publisher	Australian National University
Publication Date	06-09-2023
Summary	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 diffusion process, super-diffusive ballistic noise, is the unique process that satisfies the integral conditions among a broad class of processes. This process can be generated by a random superposition of linear Markov processes with constant drifts. This exceptionally simple representation enables us to systematically revisit, by means of the properties of Dynamic Mean-Preserving Spreads, four workhorse economic models originally based on White Gaussian Noise.
ISBN	-
Item Type	Article
File Type	pdf
File Size	29.34 KB
Language	English
Subjects	-
Unlimited	MYR 0.01
Total read	-
URL	http://arxiv.org/abs/1412.1384

Citation

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AMA 11th EditionReferences

Arcand, Jean-Louis. Increasing Risk: Dynamic Mean-Preserving Spreads. Australian National University. September 06, 2023. Accessed September 20, 2024. https://online.provdatabase.com/cite/24002

APA 7th EditionReferences

Arcand, Jean-Louis. (2023). Increasing Risk: Dynamic Mean-Preserving Spreads. Australian National University. https://online.provdatabase.com/cite/24002

Chicago 17th EditionReferences

Arcand, Jean-Louis. Increasing Risk: Dynamic Mean-Preserving Spreads. Australian National University. 2023. https://online.provdatabase.com/cite/24002

HarvardReferences

Arcand, Jean-Louis. (2023). Increasing Risk: Dynamic Mean-Preserving Spreads. [Online]. Australian National University. Available from: https://online.provdatabase.com/cite/24002. (Accessed 20 September 2024).

Harvard AustraliaReferences

Arcand, Jean-Louis, 2023, Increasing Risk: Dynamic Mean-Preserving Spreads, Australian National University, viewed 20 September 2024, <https://online.provdatabase.com/cite/24002>

MLA 9th EditionWorks Cited

Arcand, Jean-Louis. Increasing Risk: Dynamic Mean-Preserving Spreads. Australian National University, 2023. PROV Database, https://online.provdatabase.com/cite/24002.

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