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Time and Risk

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Author Info
Quiggin, John
Horowitz, John

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Abstract

Intertemporal choice has obvious similarities with choice under uncertainty. However, because of technical difficulties in mapping results between the two domains, theoretical analysis of these topics has proceeded independently. In this article, we show that, using Rank Dependent Expected Utility rather than Expected Utility as the basic uncertain choice model, numerous analogies between the two fields may be identified and exploited. The key result is the derivation of a natural analogy between risk-aversion and impatience. This permits the reinterpretation of well-known results on stochastic dominance and comparative risk-aversion in the context of intertemporal choice. It is also possible to reinterpret results on intertemporal optimization in order to derive new results for portfolio choice problems under uncertainty. Copyright 1995 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Journal of Risk and Uncertainty.

Volume (Year): 10 (1995)
Issue (Month): 1 (January)
Pages: 37-55
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Handle: RePEc:kap:jrisku:v:10:y:1995:i:1:p:37-55

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  5. Quiggin, John, 1983. "Underwriting Agricultural Commodity Prices," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 27(03), December. [Downloadable!]
  6. Makki, Shiva S. & Miranda, Mario J., 1998. "Self-Insurance And The Utility Of Standard Risk Management Contracts," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20975, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  7. Halevy, Yoram, 2004. "Strotz meets Allais: Diminishing Impatience and the Certainty Effect," Micro Theory Working Papers halevy-04-10-29-10-08-43, Microeconomics.ca Website, revised 19 Jun 2008. [Downloadable!]
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  9. Alexander Ludwig & Alexander Zimper, 2004. "Investment Behavior under Ambiguity: The Case of Pessimistic Decision Makers," MEA discussion paper series 04060, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
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