Risk Aversion over Incomes and Risk Aversion over Commodities
AbstractThis note determines the precise connection between an agent's attitude towards income risks and his attitude over risks in the underlying consumption space. Our results follow a general mathematical theory connecting the curvature properties of an objective function with the ray-curvature properties of its dual.
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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2003-W09.
Length: 14 pages
Date of creation: 18 Mar 2003
Date of revision:
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Web page: http://www.nuff.ox.ac.uk/economics/
risk aversion; concavity; duality;
Other versions of this item:
- John Quah & Juan E. Martinez-Legaz, 2003. "Risk Aversion over Incomes and Risk Aversion over Commodities," Economics Series Working Papers 2003-W09, University of Oxford, Department of Economics.
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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- John K.-H. Quah, 2000.
"The Monotonicity of Individual and Market Demand,"
Econometric Society, vol. 68(4), pages 911-930, July.
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