Supermodularity and the Comparative Statics of Risk
AbstractIn this article, it is shown that a wide range of comparative statics results from expected utility theory can be extended to generalized expected utility models using the tools of supermodularity theory. In particular, a range of concepts of decreasing absolute risk aversion may be formulated in terms of the supermodularity properties of certainty equivalent representations of preferences. Copyright Springer Science+Business Media, LLC 2007
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Bibliographic InfoArticle provided by Springer in its journal Theory and Decision.
Volume (Year): 62 (2007)
Issue (Month): 2 (March)
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Web page: http://www.springerlink.com/link.asp?id=100341
supermodularity; comparative statics; risk;
Other versions of this item:
- John Quiggin & Robert G. Chambers, 2004. "Supermodularity and the comparative statics of risk," Risk & Uncertainty Working Papers WPR04_5, Risk and Sustainable Management Group, University of Queensland.
- Quiggin, John & Chambers, Robert G, 2004. "Supermodularity and the comparative statics of risk," Risk and Sustainable Management Group Working Papers 151164, University of Queensland, School of Economics.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers)
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- Quiggin, John & Chambers, Robert G, 1998. "Risk Premiums and Benefit Measures for Generalized-Expected-Utility Theories," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 121-37, November.
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