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Comparative risk aversion when the outcomes are vectors

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  • Sudhir A. Shah

    (Delhi School of Economics)

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    Abstract

    Pratt (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 Info

    Paper provided by Centre for Development Economics, Delhi School of Economics in its series Working papers with number 149.

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    Length: 23 pages
    Date of creation: Sep 2006
    Date of revision:
    Handle: RePEc:cde:cdewps:149

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    Keywords: Comparative risk aversion; vector space of outcomes; acceptance set; vector-valued risk premia; vector-valued Arrow-Pratt coefficient; Pettis integral; ordered topological vector spaces; ordered Hilbert spaces;

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    1. Perlman, Michael D., 1974. "Jensen's inequality for a convex vector-valued function on an infinite-dimensional space," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 4(1), pages 52-65, March.
    2. Karni, Edi, 1979. "On Multivariate Risk Aversion," Econometrica, Econometric Society, Econometric Society, vol. 47(6), pages 1391-1401, November.
    3. Spence, Michael & Zeckhauser, Richard J, 1972. "The Effect of the Timing of Consumption Decisions and the Resolution of Lotteries on the Choice of Lotteries," Econometrica, Econometric Society, Econometric Society, vol. 40(2), pages 401-03, March.
    4. Grant, Simon & Kajii, Atsushi & Polak, Ben, 1992. "Many good choice Axioms: When can many-good lotteries be treated as money lotteries?," Journal of Economic Theory, Elsevier, Elsevier, vol. 56(2), pages 313-337, April.
    5. Duncan, George T, 1977. "A Matrix Measure of Multivariate Local Risk Aversion," Econometrica, Econometric Society, Econometric Society, vol. 45(4), pages 895-903, May.
    6. Yaari, Menahem E., 1969. "Some remarks on measures of risk aversion and on their uses," Journal of Economic Theory, Elsevier, Elsevier, vol. 1(3), pages 315-329, October.
    7. 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.
    8. 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.
    9. 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.
    10. 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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