英文标题：
《Risk Apportionment: The Dual Story》
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作者：
Louis R. Eeckhoudt, Roger J. A. Laeven, Harris Schlesinger
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最新提交年份：
2017
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英文摘要：
By specifying model free preferences towards simple nested classes of lottery pairs, we develop the dual story to stand on equal footing with that of (primal) risk apportionment. The dual story provides an intuitive interpretation, and full characterization, of dual counterparts of such concepts as prudence and temperance. The direction of preference between these nested classes of lottery pairs is equivalent to signing the successive derivatives of the probability weighting function within Yaari\'s (1987) dual theory. We explore implications of our results for optimal portfolio choice and show that the sign of the third derivative of the probability weighting function may be naturally linked to a self-protection problem.
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中文摘要：
通过指定对简单嵌套类彩票对的无模型偏好，我们发展了双重故事，使其与（原始）风险分摊的故事处于同等地位。双重故事对谨慎和节制等概念的双重对应物提供了直观的解释和完整的描述。这些嵌套类彩票对之间的偏好方向相当于在Yaari（1987）对偶理论中签署概率权重函数的连续导数。我们探讨了我们的结果对最优投资组合选择的影响，并表明概率权重函数的三阶导数的符号可能与自我保护问题有着天然的联系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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