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On multiattributive risk aversion: some clarifying results

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  • Gregor Dorfleitner

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  • Michael Krapp
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11846-007-0004-8
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    Bibliographic Info

    Article provided by Springer in its journal Review of Managerial Science.

    Volume (Year): 1 (2007)
    Issue (Month): 1 (April)
    Pages: 47-63

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    Handle: RePEc:spr:rvmgts:v:1:y:2007:i:1:p:47-63

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    Web page: http://www.springer.com/business/journal/11846

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    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Multiattributive risk aversion; Partial risk aversion; Time and risk preferences; Multivariate utility functions; Additive utility functions; Valuation of risky cash streams; D81; C44;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Taizhong Hu & Alfred Müller & Marco Scarsini, 2002. "Some Counterexamples in Positive Dependence," ICER Working Papers - Applied Mathematics Series 28-2003, ICER - International Centre for Economic Research, revised Jul 2003.
    2. Louis Eeckhoudt & Béatrice Rey & Harris Schlesinger, 2007. "A Good Sign for Multivariate Risk Taking," Management Science, INFORMS, vol. 53(1), pages 117-124, January.
    3. Stapleton, R C & Subrahmanyam, Marti G, 1978. "A Multiperiod Equilibrium Asset Pricing Model," Econometrica, Econometric Society, vol. 46(5), pages 1077-96, September.
    4. Kihlstrom, Richard E. & Mirman, Leonard J., 1974. "Risk aversion with many commodities," Journal of Economic Theory, Elsevier, vol. 8(3), pages 361-388, July.
    5. Scarsini, Marco, 1985. "Stochastic dominance with pair-wise risk aversion," Journal of Mathematical Economics, Elsevier, vol. 14(2), pages 187-201, April.
    6. repec:ebl:ecbull:v:4:y:2007:i:29:p:1-8 is not listed on IDEAS
    7. Larry G. Epstein & Stephen M. Tanny, 1980. "Increasing Generalized Correlation: A Definition and Some Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 13(1), pages 16-34, February.
    8. Pratt, John W, 1988. " Aversion to One Risk in the Presence of Others," Journal of Risk and Uncertainty, Springer, vol. 1(4), pages 395-413, December.
    9. Christophe Courbage, 2002. "On bivariate risk aversion," Atlantic Economic Journal, International Atlantic Economic Society, vol. 30(1), pages 98-98, March.
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    Citations

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    Cited by:
    1. Jochen Wilhelm & Josef Schosser, 2007. "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, vol. 1(2), pages 133-149, August.

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