Adding Risks: Samuelson's Fallacy of Large
Numbers Revisited
期刊名称： Journal of Financial & Quantitative Analysis
作者： Stephen A. Ross
年份： 1999年
期号： 第3期
关键词： Adding risks: Samuelson&039;s fallacy of large numbers revisited, Artículo
摘要：Samuelson called accepting a quence of independent positive mean bets that are individually unacceptable a fallacy of large numbers, and subquent rearchers have extended Samuelson's condition on utility functions to assure that they would not allow this fallacy. By contrast, some behavioralists, arguing the merits of diversification, believe that it is simply wrong headed to refu a lo
ng ries of independent "good" bets out of a misguided faith in expected utility theory. Contrary to what one might infer from the literature, this paper shows that accepting quences of good bets is both consistent with expected utility theory and quite usual.
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