Feasible sets, comparative risk aversion, and comparative uncertainty aversion in bargaining

Feasible sets, comparative risk aversion, and comparative uncertainty aversion in bargaining

We study feasible sets of the bargaining problem under two different assumptions: the players are subjective expected utility maximizers or the players are Choquet expected utility maximizers. For the latter case, we consider the effects on bargaining solutions when players become more risk averse and when they become more uncertainty averse. JEL Classification: C78, D81

Nonparametric comparative revealed risk aversion

We introduce a nonparametric method to compare risk aversion of dišerent investors based on revealed preference methods. Using Yaari’s (1969) denition of “more risk averse than”, we show that it is su›cient to compare the revealed preference relations of two investors. is makes the approach operational; the central rationalisability theorem provides strong support for this approach. e approach...

Nash bargaining and risk aversion

It is widely accepted among axiomatic bargaining theorists that if one bargainer is more risk averse than a second, the second will be a tougher bargaining opponent than the first against all opponents. We argue that this relationship between risk aversion and bargaining toughness is both highly fragile, and more nuanced than previously articulated. In the Nash and Kalai-Smorodinsky bargaining ...

Risk Aversion in the Nash Bargaining Problem with Uncertainty

We apply the aggregation property of Identical Shape Harmonic Absolute Risk Aversion (ISHARA) utility functions to analyze the comparative statics properties of a bargaining model with uncertainty. We identify sufficient and necessary conditions under which an increase in one’s degree of risk aversion benefits/hurts one’s opponent. We apply our model to analyze the problems of bargaining over i...

Comparative Risk Aversion for State-Dependent Preferences