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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
Date of revision:
Contact details of provider:
Postal: Colin Clark Building, no 39, St. Lucia, Qld. 4072
Phone: +61 7 3365 6601
Fax: +61 7 3365 6601
Web page: http://www.uq.edu.au/rsmg/index.htm
More information through EDIRC
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, 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, University of Queensland, School of Economics 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-2005-05-14 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Quiggin, John & Chambers, Robert G, 1998. "Risk Premiums and Benefit Measures for Generalized-Expected-Utility Theories," Journal of Risk and Uncertainty, Springer, Springer, vol. 17(2), pages 121-37, November.
- Feder, Gershon, 1977. "The impact of uncertainty in a class of objective functions," Journal of Economic Theory, Elsevier, vol. 16(2), pages 504-512, December.
- Chateauneuf, Alain & Cohen, Michele, 1994. "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model," Journal of Risk and Uncertainty, Springer, Springer, vol. 9(1), pages 77-91, July.
- 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 MathÃƒÂ©matique et Applications, UniversitÃƒÂ© PanthÃƒÂ©on-Sorbonne (Paris 1)
97.53, UniversitÃƒÂ© PanthÃƒÂ©on-Sorbonne (Paris 1).
- Alain Chateauneuf & MichÃ©le Cohen & Isaac Meilijson, 2005. "More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model," Economic Theory, Springer, Springer, vol. 25(3), pages 649-667, 04.
- Alain Chateauneuf & MichÃ¨le Cohen & Isaac Meilijson, 2005. "More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00211906, HAL.
- Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 36(107), pages 335-46, July.
- Quiggin, John, 1991. " Comparative Statics for Rank-Dependent Expected Utility Theory," Journal of Risk and Uncertainty, Springer, Springer, vol. 4(4), pages 339-50, December.
- Milgrom, Paul, 1994. "Comparing Optima: Do Simplifying Assumptions Affect Conclusions?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 102(3), pages 607-15, June.
- Quiggin, John, 1992. "Efficient sets with and without the expected utility hypothesis : A generalization," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 395-399.
- Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
- Quiggin, John & Chambers, R.G.Robert G., 2004. "Invariant risk attitudes," Journal of Economic Theory, Elsevier, vol. 117(1), pages 96-118, 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Adamson).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.