Abstract: This paper proposes a risk measure method based on stochastic reference point according to the reference dependent preference model and the model of mean-risk is constructed. It is found that the decision method is consistent with the first order stochastic dominance and the second order stochastic dominance. Because of the consistency between the second order stochastic dominance and the expected utility theory, the mean-risk model is also consistent with the expected utility theory.

Key words: risk, risk measure, decision making, mean-risk analysis, stochastic dominance

摘要： 本文依据参照依赖偏好模型提出了基于随机参照点的风险度量方法,进而构建了均值-风险模型,并讨论了该决策方法与随机占优之间的一致性。研究发现,该决策方法不仅与一级随机占优是一致的而且与二级随机占优也是一致的。由于二级随机占优与期望效用理论的一致性,因而所构建的均值-风险模型与期望效用理论也是一致的。

关键词: 风险, 风险度量, 决策, 均值-风险分析, 随机占优