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Comparative risk aversion for state-dependent preferences

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  • Quiggin, John
  • Chambers, Robert G.

Abstract

The idea that preferences may be state-dependent fits naturally with an analysis of uncertainty based on explicit representation of random variables as state-contingent consumption or production bundles. In this paper we show how these concepts of risk-aversion may be extended to the case of state-dependent preferences, whether or not these preferences are autocomparable in the sense of Karni. We characterize autocomparability as a special case. We show how standard comparative static results, originally derived for the state-independent expected utility model, may be extended to general state-dependent preferences, without the requirement for additive separability.

Suggested Citation

  • Quiggin, John & Chambers, Robert G., 2005. "Comparative risk aversion for state-dependent preferences," Risk and Sustainable Management Group Working Papers 151172, University of Queensland, School of Economics.
    • Handle: RePEc:ags:uqsers:151172
    DOI: 10.22004/ag.econ.151172
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    References listed on IDEAS

    as
    1. Grant, Simon & Karni, Edi, 2004. "A theory of quantifiable beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 515-546, August.
    2. Karni, Edi, 1987. "Generalized Expected Utility Analysis of Risk Aversion with State-Dependent Preference," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 229-240, February.
    3. Karni, Edi, 1999. "Elicitation of Subjective Probabilities When Preferences Are State-Dependent," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 479-486, May.
    4. Chambers,Robert G. & Quiggin,John, 2000. "Uncertainty, Production, Choice, and Agency," Cambridge Books, Cambridge University Press, number 9780521622448.
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    More about this item

    Keywords

    Public Economics; Risk and Uncertainty;

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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