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Jointly radial and translation homothetic preferences: generalized constant risk aversion

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  • Robert Chambers
  • Rolf Färe
  • John Quiggin

Abstract

The paper identifies the structural restrictions on preferences required for them to exhibit both translation homotheticity in particular direction and radial homotheticity. The results are illustrated by an application to an asset allocation problem in the absence of riskless asset. Copyright Springer-Verlag Berlin/Heidelberg 2004

Suggested Citation

  • Robert Chambers & Rolf Färe & John Quiggin, 2004. "Jointly radial and translation homothetic preferences: generalized constant risk aversion," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(3), pages 689-699, March.
    • Handle: RePEc:spr:joecth:v:23:y:2004:i:3:p:689-699
    DOI: 10.1007/s00199-003-0386-z
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    Citations

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    Cited by:

    1. John Quiggin & Robert G. Chambers, 2006. "The state-contingent approach to production under uncertainty ," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 50(2), pages 153-169, June.
    2. Broll, Udo & Battermann, Harald L. & Wahl, Jack E., 2006. "Utility Functions of Equivalent Form and the Effect of Parameter Changes on Optimum Decision Making," Dresden Discussion Paper Series in Economics 02/06, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    3. Quiggin, John & Chambers, Robert G., 2005. "The state-contingent approach to production and uncertainty," Risk and Sustainable Management Group Working Papers 151168, University of Queensland, School of Economics.
    4. Walter Briec & Qi Liang & Hermann Ratsimbanierana, 2012. "On some classes of normed and risk averse preferences," Journal of Economics, Springer, vol. 106(3), pages 267-282, July.
    5. Walter Briec & Laurent Cavaignac, 2009. "An extension of the multi-output state-contingent production model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(1), pages 43-64, April.
    6. Robert Chambers & Rolf Färe, 2008. "A “calculus” for data envelopment analysis," Journal of Productivity Analysis, Springer, vol. 30(3), pages 169-175, December.

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