Utility representations of risk neutral preferences in multiple dimensions∗
نویسنده
چکیده
I show that in a multidimensional spatial model, if an agent is risk neutral on each side of the policy space away from her ideal point, then her utility function is linearly decreasing in the city block distance to the ideal policy of the agent.
منابع مشابه
Investigating the Role of real Money Balances in Households' Preferences function in the Framework of the Assets Pricing Models (M-CCAPM): Case study of Iran
In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are...
متن کاملtransaction cost and Time inconsistency in consumption- Savings behavior(experimental approach)
Empirical and experimental studies demonstrate that the rates of time preferences are smaller in long run in comparison with that of short run. In other word individuals are present bias; and it is one of the reasons that the saving is less than its optimal level. The aim of this study is to examine if the dearth of sufficient information results in time inconsistency in individual decisions fo...
متن کاملExplaining Heterogeneity in Risk Preferences Using a Finite Mixture Model
This paper studies the effect of the space (distance) between lotteries' outcomes on risk-taking behavior and the shape of estimated utility and probability weighting functions. Previously investigated experimental data shows a significant space effect in the gain domain. As compared to low spaced lotteries, high spaced lotteries are associated with higher risk aversion for high probabilities o...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملEstimating Risk Attitudes in Conventional and Artefactual Lab Experiments: The Importance of the Underlying Assumptions
In this paper we assess the importance of sample type in the estimation of risk preferences. We elicit and compare risk preferences from student subjects and subjects drawn from the general population, using the multiple price list method devised by Holt and Laury in their paper Risk Aversion and Incentive Effects (2002). We find evidence suggesting that under rank dependent utility, students e...
متن کامل