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Impact d'un accroissement de l'aversion pour le risque sur la combinaison d'actifs risqués. Glissades, petits sauts et grands plongeons

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  • Jean-Pascal Gayant

Abstract

In this paper, we compare the impact of increasing risk aversion on the combination of risky assets, in the Expected Utility model and in the Dual Theory (Yaari [1987]). We exhibit, by an example, that a decision maker in the Dual Theory may, not only plunge from one asset to another, but also jump from a unique asset to a diversified portfolio, or even jump from a diversified portfolio to another. We also show that the decision maker may, definitely, combine his portfolio so as to maximize its minimum return, up to a given degree of risk aversion. Classification JEL : D81

Suggested Citation

  • Jean-Pascal Gayant, 2005. "Impact d'un accroissement de l'aversion pour le risque sur la combinaison d'actifs risqués. Glissades, petits sauts et grands plongeons," Revue économique, Presses de Sciences-Po, vol. 56(4), pages 889-902.
    • Handle: RePEc:cai:recosp:reco_564_0889
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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