Monotone Comparative Statics Under Uncertainty

Susan Athey

Scholarly Articles from Harvard University Department of Economics

Abstract: This paper analyzes monotone comparative statics predictions in several classes of stochastic optimization problems. The main results characterize necessary and sufficient conditions for comparative statics predictions to hold based on properties of primitive functions, that is, utility functions and probability distributions. The results apply when the primitives satisfy one of the following two properties: (i) a single-crossing property, which arises in applications such as portfolio investment problems and auctions, or (ii) log-supermodularity, which arises in the analysis of demand functions, affiliated random variables, stochastic orders, and orders over risk aversion.

Date: 2002
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Published in Quarterly Journal of Economics -Cambridge Massachusetts-

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Journal Article: Monotone Comparative Statics under Uncertainty (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3372263

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