Monotone additive statistics

Xiaosheng Mu, Luciano Pomatto, Philipp Strack () and Omer Tamuz

Papers from arXiv.org

Abstract: The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a number of applications to models of individual and group decision-making. These include a representation of stationary monotone time preferences, extending the work of Fishburn and Rubinstein (1982) to time lotteries. This extension offers a new perspective on risk attitudes toward time, as well as on the aggregation of multiple discount factors. We also offer a novel class of nonexpected utility preferences over gambles which satisfy invariance to background risk as well as betweenness, but are versatile enough to capture mixed risk attitudes.

Date: 2021-01, Revised 2024-04
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Citations: View citations in EconPapers (5)

Published in Econometrica, Volume 92, Issue 4, July 2024, pp. 995-1031

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