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Risk Aversion over Incomes and Risk Aversion over Commodities

Author

Listed:
  • Juan E. Martinez-Legaz

    (Departament d'Economia i d'Historia Economica and CODE, Universitat Autonoma de Barcelona)

  • John K.-H. Quah

    (St Hugh's College, Oxford University)

Abstract

This 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.

Suggested Citation

  • Juan E. Martinez-Legaz & John K.-H. Quah, 2003. "Risk Aversion over Incomes and Risk Aversion over Commodities," Economics Papers 2003-W09, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:0309
    as

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    File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/w9/A_hlp15.pdf
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    References listed on IDEAS

    as
    1. Mas-Colell,Andreu, 1990. "The Theory of General Economic Equilibrium," Cambridge Books, Cambridge University Press, number 9780521388702, January.
    2. John K.-H. Quah, 2000. "The Monotonicity of Individual and Market Demand," Econometrica, Econometric Society, vol. 68(4), pages 911-930, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    risk aversion; concavity; duality;
    All these keywords.

    JEL classification:

    • 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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