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Monotone Additive Statistics

Author

Listed:
  • Xiaosheng Mu

    (Princeton University)

  • Luciano Pomatto

    (Caltech)

  • Philipp Strack

    (Yale University)

  • Omer Tamuz

    (Caltech)

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, as well as a characterization of risk-averse preferences over monetary gambles that are invariant to mean-zero background risks.

Suggested Citation

  • Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz, 2021. "Monotone Additive Statistics," Working Papers 2021-36, Princeton University. Economics Department..
    • Handle: RePEc:pri:econom:2021-36
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    References listed on IDEAS

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    More about this item

    Keywords

    statistics; decision-making;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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