Comparative risk aversion when the outcomes are vectors
AbstractPratt (1964) and Yaari (1969) contain the classical results pertaining to the equivalence of various notions of comparative risk aversion of von Neumann-Morgenstern utilities in the setting with real-valued outcomes. Some of these results have been extended to the setting with outcomes in
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Bibliographic InfoPaper provided by Centre for Development Economics, Delhi School of Economics in its series Working papers with number 149.
Length: 23 pages
Date of creation: Sep 2006
Date of revision:
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-07 (All new papers)
- NEP-FMK-2006-10-07 (Financial Markets)
- NEP-UPT-2006-10-07 (Utility Models & Prospect Theory)
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- Kihlstrom, Richard E. & Mirman, Leonard J., 1974. "Risk aversion with many commodities," Journal of Economic Theory, Elsevier, Elsevier, vol. 8(3), pages 361-388, July.
- Grant, Simon & Kajii, Atsushi & Polak, Ben, 1992. "Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom," Journal of Economic Theory, Elsevier, Elsevier, vol. 56(2), pages 338-351, April.
- Karni, Edi, 1989. "Generalized Expected Utility Analysis of Multivariate Risk Aversion," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(2), pages 297-305, May.
- Peters, H. J. M. & Wakker, P. P., 1986. "Convex functions on non-convex domains," Economics Letters, Elsevier, Elsevier, vol. 22(2-3), pages 251-255.
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