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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