Generalized Expected Utility Analysis of Multivariate Risk Aversion
نویسندگان
چکیده
منابع مشابه
Expected Utility and Risk Aversion
This reading describes how people’s aversion to risk affects the decisions they make about investment. Basically, the concepts used to do this analysis emerge naturally when people have expected utility preferences, but not otherwise. So, it illustrates one important way that expected utility is applied. This analysis also makes it possible to illustrate how to do comparative statics. Comparati...
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The calibration theorem by Rabin (2000) implies that seemingly plausible smallstake choices under risk imply implausible large-stake risk aversion. This theorem is derived based on the expected utility of wealth model. However, Cox and Sadiraj (2006) show that such implications do not follow from the expected utility of income model. One may then wonder about the implications for more applied c...
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The response of risk-averse decision-makers with expected-utility preferences to the addition of independent background risk has been the subject of a substantial literature. Important contributions include those of Pratt and Zeckhauser (1987); Pratt (1988); Kimball (1993); Gollier and Pratt (1996). The literature has recently been summarized and extended by Gollier (2000). The primary result o...
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ژورنال
عنوان ژورنال: International Economic Review
سال: 1989
ISSN: 0020-6598
DOI: 10.2307/2526648