Increases In Risk And Linear Payoffs
AbstractThis paper is concerned with the effect of increases in risk on optimal decision variables for the class of linear payoffs. The authors show that, for this class of payoffs, one can extend the class of admissible increases in risk and obtain the desirable comparative statics properties. They propose the definition of a 'relatively weak increase in risk' and apply it to the case of the competitive firm with constant marginal costs, the standard portfolio model, and the coinsurance problem. Copyright 1993 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9019.
Length: 9 pages
Date of creation: 1990
Date of revision:
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risk ; linear models ; enterprises ; competition;
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- Christian Gollier, 2011.
"Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion,"
Review of Economic Studies,
Oxford University Press, vol. 78(4), pages 1329-1344.
- Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," TSE Working Papers 09-068, Toulouse School of Economics (TSE).
- Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," IDEI Working Papers 357, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2011.
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- Gollier, Christian & Hammitt, James & Treich, Nicolas, 2013.
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IDEI Working Papers
804, Institut d'Économie Industrielle (IDEI), Toulouse.
- Harris Schlesinger & Christian Gollier, 2001.
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CESifo Working Paper Series
443, CESifo Group Munich.
- Suyeol Ryu & Iltae Kim, 2005. "Portfolio Choice for Increases in Risk and Prudence Revisited," Journal of Economics, Springer, vol. 86(3), pages 293-300, December.
- Christian Gollier & Pierre-François Koehl & Jean-Charles Rochet, 1996. "Risk-Taking Behavior with Limited Liability and Risk Aversion," Center for Financial Institutions Working Papers 96-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Gollier, Christian, 1993. "Portfolio Dominance, Lower Conditional Expectation And The Monotone Likelihood Ratio Order," Working Papers 014, Risk and Insurance Archive.
- Gollier, Christian & Schlesinger, Harris, 1996. "Portfolio choice under noisy asset returns," Economics Letters, Elsevier, vol. 53(1), pages 47-51, October.
- Choi, Gyemyung & Kim, Iltae & Snow, Arthur, 2000. "Comparative statics predictions for the cross-effects of central dominance changes in risk with quasilinear payoffs," Economics Letters, Elsevier, vol. 66(1), pages 41-48, January.
- Alain Chateauneuf & Ghizlane Lakhnati, 2005. "Increases in risk and demand for risky asset," Cahiers de la Maison des Sciences Economiques b05033, Université Panthéon-Sorbonne (Paris 1).
- EECKHOUDT, Louis & Christian GOLLIER, 1994. "Demand for Risky Assets and Stochastic Dominance: A Note," Working Papers 007, Risk and Insurance Archive.
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