Fractional-Degree Expectation Dependence  

作　　者：Jianping Yang Weiru Chen Weiwei Zhuang 

机构地区：[1]Department of Mathematical Sciences,School of Science,Zhejiang Sci-Tech University,Hangzhou 310018,Zhejiang,People’s Republic of China [2]International Institute of Finance,School of Management,University of Science and Technology of China,Hefei 230026,Anhui,People’s Republic of China

出　　处：《Communications in Mathematics and Statistics》2023年第2期341-368,共28页数学与统计通讯（英文）

摘　　要：We develop a fractional-degree expectation dependence which is the generalization of the first-degree and second-degree expectation dependence.The motivation for introducing such a dependence notion is to conform with the preferences of decision makers who are mostly risk averse but would be risk seeking at some wealth levels.We investigate some tractable equivalent properties for this new dependence notion,and explore its properties,including the invariance under increasing and concave transformations,and the invariance under convolution.We also extend our results to a combined fractional-degree expectation dependence notion includingε-almost firstdegree expectation dependence.Two applications on portfolio diversification problem and optimal investment in the presence of a background risk illustrate the usefulness of the approaches proposed in the present paper.

关 键 词：Expectation dependence Incomplete risk aversion Confined correlation aversion Optimal investment 

分 类 号：O17[理学—数学]