Supermodularity and risk aversion
نویسندگان
چکیده
In this paper, we consider the relationship between supermodularity and risk aversion. We show that supermodularity of the certainty equivalent implies that the certainty equivalent of any random variable is less than its mean. We also derive conditions under which supermodularity of the certainty equivalent is equivalent to aversion to mean-preserving spreads in the sense of Rothschild and Stiglitz. © 2006 Elsevier B.V. All rights reserved.
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ورودعنوان ژورنال:
- Mathematical Social Sciences
دوره 52 شماره
صفحات -
تاریخ انتشار 2006