On the Effect of Risk Aversion in Two-Person, Two-State Finance Economies
AbstractThe effect of replacing an agent in a two-person two-state finance economy by a more risk averse agent is studied. It is established under which conditions the other agent benefits or looses in equilibrium from dealing with a more risk averse agent. If one agent becomes more risk averse, then the equilibrium allocation moves towards that agent's certainty line. Whether or not that is beneficial for the other agent depends on the location of the endowment point.
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Bibliographic InfoArticle provided by De Gruyter in its journal The B.E. Journal of Theoretical Economics.
Volume (Year): 7 (2008)
Issue (Month): 1 (January)
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Web page: http://www.degruyter.com
Other versions of this item:
- Berden, Caroline & Peters, Hans, 2006. "On the effect of risk aversion in two-person, two-state finance economies," Research Memoranda 011, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Berden, Caroline & Peters, Hans, 2006. "On the effect of risk aversion in two-person, two-state finance economies," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
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- Loretta J. Mester, 1997. "What's the point of credit scoring?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 3-16.
- D. J. Hand & W. E. Henley, 1997. "Statistical Classification Methods in Consumer Credit Scoring: a Review," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 523-541.
- Allen, Linda & DeLong, Gayle & Saunders, Anthony, 2004. "Issues in the credit risk modeling of retail markets," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 727-752, April.
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