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DA风险容忍的敏感度分析
Decision Analysis informs
®
Vol. 7, No. 3, September 2010, pp. 313–321
doi 10.1287/deca.1100.0183
issn 1545-8490 eissn 1545-8504 10 0703 0313
© 2010 INFORMS
Sensitivity Analysis of Risk Tolerance
Bjørn Sandvik
Department of Economics, University of Bergen, N-5007 Bergen, Norway, bjorn.sandvik@econ.uib.no
Lars Thorlund-Petersen
Bodø Graduate School of Business, N-8049 Bodø, Norway, lars.thorlund-petersen@hibo.no
For a risk-averse decision maker with exponential utility facing a decision between two investments X and Y ,
there may exist more than one critical value of risk tolerance for which the decision is reversed from one
investment to the other. Our main result establishes that if Y is preferred to X by all risk-seeking decision
makers, then there is at most one such critical value. We extend this result to linear plus exponential utility
functions. The results reduce the input required from a decision maker.
Key words : decision analysis; risk aversion/tolerance; sensitivity analysis; stochastic dominance
History : Received on December 19, 2008. Accepted on April 16, 2010, after 1 revision.
1. Introduction following, is called
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