Supermodularity and the Comparative Statics of Risk

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Supermodularity and the Comparative Statics of Risk

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John Quiggin ()
Robert Chambers

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Abstract

In 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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Article provided by Springer in its journal Theory and Decision.

Volume (Year): 62 (2007)
Issue (Month): 2 (March)
Pages: 97-117
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Handle: RePEc:kap:theord:v:62:y:2007:i:2:p:97-117

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References listed on IDEAS
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Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March. [Downloadable!] (restricted)
Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Blackwell Publishing, vol. 36(107), pages 335-46, July. [Downloadable!] (restricted)
Quiggin, John & Chambers, R.G.Robert G., 2004. "Invariant risk attitudes," Journal of Economic Theory, Elsevier, vol. 117(1), pages 96-118, July. [Downloadable!] (restricted)
Quiggin, John, 1991. " Comparative Statics for Rank-Dependent Expected Utility Theory," Journal of Risk and Uncertainty, Springer, vol. 4(4), pages 339-50, December.
Milgrom, Paul, 1994. "Comparing Optima: Do Simplifying Assumptions Affect Conclusions?," Journal of Political Economy, University of Chicago Press, vol. 102(3), pages 607-15, June. [Downloadable!] (restricted)
Feder, Gershon, 1977. "The impact of uncertainty in a class of objective functions," Journal of Economic Theory, Elsevier, vol. 16(2), pages 504-512, December. [Downloadable!] (restricted)
Quiggin, John, 1992. "Efficient sets with and without the expected utility hypothesis : A generalization," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 395-399. [Downloadable!] (restricted)

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