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A Matrix Measure of Multivariate Local Risk Aversion

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  • Duncan, George T
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    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 45 (1977)
    Issue (Month): 4 (May)
    Pages: 895-903

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    Handle: RePEc:ecm:emetrp:v:45:y:1977:i:4:p:895-903

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    Cited by:
    1. Christoph Heinzel, 2014. "Term structure of discount rates under multivariate s-ordered consumption growth," Working Papers SMART - LERECO 14-01, INRA UMR SMART.
    2. Elyès Jouini & Clotilde Napp & Diego Nocetti, 2013. "On Multivariate Prudence," Post-Print halshs-00635558, HAL.
    3. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer, vol. 48(2), pages 437-467, October.
    4. Zvi Bodie & J�r�me Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
    5. Sudhir A. Shah, 2007. "Duality mappings for the theory of risk aversion with vector outcomes," Working papers 160, Centre for Development Economics, Delhi School of Economics.
    6. repec:hal:wpaper:halshs-00635558 is not listed on IDEAS
    7. Marco G. Ercolani, 2000. "The price augmented risk premium, theory and application," Economics Discussion Papers 510, University of Essex, Department of Economics.
    8. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    9. Ahmed, Mohamed M. & Preckel, Paul V. & Baker, Timothy G. & Lopez-Pereira, Miguel, 2001. "Modeling the impact of technological change on nutrition and marketed surplus," Agricultural Economics, Blackwell, vol. 25(1), pages 103-118, June.
    10. Christophe Courbage, 2001. "On Bivariate Risk Premia," Theory and Decision, Springer, vol. 50(1), pages 29-34, February.
    11. Sudhir A. Shah, 2006. "Comparative risk aversion when the outcomes are vectors," Working papers 149, Centre for Development Economics, Delhi School of Economics.
    12. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    13. Sudhir A. Shah, 2010. "Comparative Risk Aversion When the Outcomes are Vectors," Working Papers id:2907, eSocialSciences.
    14. Eisenhauer, Joseph G., 2006. "Risk aversion and prudence in the large," Research in Economics, Elsevier, vol. 60(4), pages 179-187, December.
    15. Courbage, Christophe, 1999. "Primes de risque et soins de santé," L'Actualité Economique, Société Canadienne de Science Economique, vol. 75(4), pages 665-672, décembre.

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