A Definition of 'More Systematic Risk' with Some Welfare Implications
AbstractProducers are subject to similar production risks, and so their outputs are likely correlated. Using the entire data-set rather than summary statistics, we study an ordinal definition of systematic risk. For risk-neutral producers in perfect competition, we trace the effects of an increase in systematic risk through to impacts on welfare measures and production decisions. Expected welfare falls under more systematic risk, but either of expected producer surplus or expected consumer surplus may rise. Our definition of systematic risk also has relevance for the incentive to incur R&D expenditures, the benefits of diversity and the gains from risk-sharing. Copyright The London School of Economics and Political Science 2003.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by London School of Economics and Political Science in its journal Economica.
Volume (Year): 70 (2003)
Issue (Month): 279 (08)
Contact details of provider:
Postal: Houghton Street, London WC2A 2AE
Phone: +44 (020) 7405 7686
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0013-0427
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Hennessy, David A. & Lapan, Harvey E., 2006.
"On the Nature of Certainty Equivalent Functionals,"
Staff General Research Papers
12552, Iowa State University, Department of Economics.
- Decancq, Koen, 2012.
"Elementary multivariate rearrangements and stochastic dominance on a Fréchet class,"
Journal of Economic Theory,
Elsevier, vol. 147(4), pages 1450-1459.
- Decancq, Koen, 2012. "Elementary multivariate rearrangements and stochastic dominance on a Fréchet class," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/411384, Katholieke Universiteit Leuven.
- Quiggin, John & Chambers, Robert G, 2004.
"Supermodularity and Risk Aversion,"
Risk and Sustainable Management Group Working Papers
151161, University of Queensland, School of Economics.
- Margaret Meyer & Bruno Strulovici, 2011.
"Increasing Interdependence of Multivariate Distributions,"
1523, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Meyer, Margaret & Strulovici, Bruno, 2012. "Increasing interdependence of multivariate distributions," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1460-1489.
- Lapan, Harvey E. & Hennessy, David A., 2004. "Cost Arrangement and Welfare in a Multi-Product Cournot Oligopoly," Staff General Research Papers 12207, Iowa State University, Department of Economics.
- Lapan, Harvey E. & Hennessy, David A., 2006. "A note on cost arrangement and market performance in a multi-product Cournot oligopoly," International Journal of Industrial Organization, Elsevier, vol. 24(3), pages 583-591, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.