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Comparative Statics Predictions for Changes in Uncertainty in the Portfolio and Savings Problems

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  • Choi, Gyemyung
  • Kim, Iltae
  • Snow, Arthur
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    Abstract

    The paper investigates comparative statics effects of changes in uncertainty for a general family of problems that encompasses both the portfolio and saving decisions. Conditions are derived on preferences that are necessary and sufficient for unambiguous comparative statics predictions. The paper consolidates and completes the statement of restrictions on attitudes toward risk-bearing needed for determinate predictions in the portfolio and saving problems. Copyright 2001 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Bulletin of Economic Research.

    Volume (Year): 53 (2001)
    Issue (Month): 1 (January)
    Pages: 61-72

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    Handle: RePEc:bla:buecrs:v:53:y:2001:i:1:p:61-72

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0307-3378

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    Cited by:
    1. CHIU, W. Henry & EECKHOUDT, Louis & REY, Béatrice, . "On relative and partial risk attitudes: theory and implications," CORE Discussion Papers RP -2431, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Thomas Eichner & Andreas Wagener, 2005. "Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches," Decisions in Economics and Finance, Springer, vol. 28(1), pages 53-65, 06.
    3. Andreas Wagener, 2001. "On Intergenerational Risk Sharing within Social Security Schemes," CESifo Working Paper Series 499, CESifo Group Munich.
    4. Courbage, Christophe & Rey, Béatrice, 2012. "Priority setting in health care and higher order degree change in risk," Journal of Health Economics, Elsevier, vol. 31(3), pages 484-489.
    5. EECKHOUDT, Louis & ETNER, Johanna & SCHROYEN, Fred, . "The values of relative risk aversion and prudence: A context-free interpretation," CORE Discussion Papers RP -2162, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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