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Risk and risk aversion when states of nature matter

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  • Jan Werner

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    File URL: http://hdl.handle.net/10.1007/s00199-008-0388-y
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    Bibliographic Info

    Article provided by Springer in its journal Economic Theory.

    Volume (Year): 41 (2009)
    Issue (Month): 2 (November)
    Pages: 231-246

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    Handle: RePEc:spr:joecth:v:41:y:2009:i:2:p:231-246

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    Related research

    Keywords: Mean-independent risk; Risk aversion; Conditional expectations; Efficient claims; D81; G11;

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    References

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    1. Zilcha, Itzhak & Chew, Soo Hong, 1990. "Invariance of the efficient sets when the expected utility hypothesis is relaxed," Journal of Economic Behavior & Organization, Elsevier, vol. 13(1), pages 125-131, January.
    2. Chateauneuf, A. & Dana, R.-A, & Tallon, J.-M., 1997. "Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility," Papiers d'Economie Mathématique et Applications 97.54, Université Panthéon-Sorbonne (Paris 1).
    3. Rothschild, Michael & Stiglitz, Joseph E., 1973. "Some further results on the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 6(2), pages 188-204, April.
    4. Dasgupta, Partha & Sen, Amartya & Starrett, David, 1973. "Notes on the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 6(2), pages 180-187, April.
    5. Matthew Rabin, 2001. "Risk Aversion and Expected Utility Theory: A Calibration Theorem," Levine's Working Paper Archive 7667, David K. Levine.
    6. Hong Chew Soo & Hui Mao Mei, 1995. "A Schur Concave Characterization of Risk Aversion for Non-expected Utility Preferences," Journal of Economic Theory, Elsevier, vol. 67(2), pages 402-435, December.
    7. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
    8. Peleg, Bezalel & Yaari, M E, 1975. "A Price Characterization of Efficient Random Variables," Econometrica, Econometric Society, vol. 43(2), pages 283-92, March.
    9. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    10. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
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    Cited by:
    1. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.

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