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Duality and consumption decisions under income and price risk

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  • Menezes, Carmen F.
  • Henry Wang, X.
  • Bigelow, John P.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 41 (2005)
Issue (Month): 3 (April)
Pages: 387-405

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Handle: RePEc:eee:mateco:v:41:y:2005:i:3:p:387-405

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. Feldstein, Martin S, 1985. "The Optimal Level of Social Security Benefits," The Quarterly Journal of Economics, MIT Press, vol. 100(2), pages 303-20, May.
  2. Elmendorf, Douglas W & Kimball, Miles S, 2000. "Taxation of Labor Income and the Demand for Risky Assets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(3), pages 801-33, August.
  3. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279.
  4. Davis, George K, 1989. "Income and Substitution Effects for Mean-Preserving Spreads," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 131-36, February.
  5. Peter Diamond & John Geanakoplos, 1999. "Social Security Investment in Equities I: Linear Case," Working papers 99-10, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Fischer, Stanley, 1972. "Assets, Contingent Commodities, and the Slutsky Equations," Econometrica, Econometric Society, vol. 40(2), pages 371-85, March.
  7. Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-23, September.
  8. DREZE, Jacques H. & MODIGLIANI, Franco, . "Cosumption decisions under uncertainty," CORE Discussion Papers RP -119, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Saku Aura & Peter Diamond & John Geanakoplos, 2002. "Savings and Portfolio Choice in a Two-Period Two-Asset Model," American Economic Review, American Economic Association, vol. 92(4), pages 1185-1191, September.
  10. Andrew B. Abel, . "The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks," Rodney L. White Center for Financial Research Working Papers 09-00, Wharton School Rodney L. White Center for Financial Research.
  11. Hanson, David L & Menezes, Carmen F, 1978. "The Effect of Capital Risk on Optimal Saving Decisions," The Quarterly Journal of Economics, MIT Press, vol. 92(4), pages 653-70, November.
  12. Coyte, Peter C, 1986. "The Supply of Individual Hours and Labor Force Participation under Uncertainty," Economic Inquiry, Western Economic Association International, vol. 24(1), pages 155-71, January.
  13. Pope, Rulon D & Chavas, Jean-Paul, 1985. "Producer Surplus and Risk," The Quarterly Journal of Economics, MIT Press, vol. 100(5), pages 853-69, Supp..
  14. Julian Alston & James Chalfant & Nicholas Piggott, 2002. "Estimating and testing the compensated double-log demand model," Applied Economics, Taylor & Francis Journals, vol. 34(9), pages 1177-1186.
  15. Kihlstrom, Richard E & Romer, David & Williams, Steve, 1981. "Risk Aversion with Random Initial Wealth," Econometrica, Econometric Society, vol. 49(4), pages 911-20, June.
  16. Ross, Stephen A, 1981. "Some Stronger Measures of Risk Aversion in the Small and the Large with Applications," Econometrica, Econometric Society, vol. 49(3), pages 621-38, May.
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Cited by:
  1. Eichner, Thomas, 2011. "Portfolio selection and duality under mean variance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 146-152, January.
  2. Thomas Eichner, 2010. "Slutzky equations and substitution effects of risks in terms of mean-variance preferences," Theory and Decision, Springer, vol. 69(1), pages 17-26, July.

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