Supermodularity and the comparative statics of risk
AbstractIn this paper, it is shown that a wide range of comparative statics results from expected utility theory can be extended to generalized expected utility models using the tools of supermodularity theory.
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Bibliographic InfoPaper provided by Risk and Sustainable Management Group, University of Queensland in its series Risk & Uncertainty Working Papers with number WPR04_5.
Date of creation: Jun 2004
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isk aversion; Schur concavity; supermodularity;
Other versions of this item:
- John Quiggin & Robert Chambers, 2007. "Supermodularity and the Comparative Statics of Risk," Theory and Decision, Springer, vol. 62(2), pages 97-117, March.
- Quiggin, John & Chambers, Robert G, 2004. "Supermodularity and the comparative statics of risk," Risk and Sustainable Management Group Working Papers 151164, University of Queensland, School of Economics.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-16 (All new papers)
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- repec:hal:cesptp:halshs-00211906 is not listed on IDEAS
- Quiggin, John & Chambers, Robert G, 1998. "Risk Premiums and Benefit Measures for Generalized-Expected-Utility Theories," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 121-37, November.
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- Quiggin, John & Chambers, R.G.Robert G., 2004. "Invariant risk attitudes," Journal of Economic Theory, Elsevier, vol. 117(1), pages 96-118, July.
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- Alain Chateauneuf & Michéle Cohen & Isaac Meilijson, 2005.
"More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model,"
Springer, vol. 25(3), pages 649-667, 04.
- Chateauneuf, A. & Cohen, M. & Meilijson, I., 1997. "More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model," Papiers d'Economie MathÃÂ©matique et Applications 97.53, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- Quiggin, John, 1991. " Comparative Statics for Rank-Dependent Expected Utility Theory," Journal of Risk and Uncertainty, Springer, vol. 4(4), pages 339-50, December.
- Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, vol. 36(107), pages 335-46, July.
- Osaki, Yusuke & Quiggin, John, 2008. "Stochastic dominance representation of optimistic belief: Theory and applications," Economics Letters, Elsevier, vol. 101(3), pages 275-278, December.
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