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Comparative Risk Aversion for State-Dependent Preferences

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  • Robert G. Chambers

    ()
    (Dept of Agricultural and Resource Economics, University of Maryland, College Park)

  • John Quiggin

    ()
    (Department of Economics, University of Queensland)

Abstract

The idea that preferences may be state-dependent fits naturally with an analysis of uncertainty based on explicit representation of random variables as state-contingent consumption or production bundles. In this paper we show how these concepts of risk-aversion may be extended to the case of state-dependent preferences, whether or not these preferences are autocomparable in the sense of Karni. We characterize autocomparability as a special case. We show how standard comparative static results, originally derived for the state-independent expected utility model, may be extended to general state-dependent preferences, without the requirement for additive separability.

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Paper provided by Risk and Sustainable Management Group, University of Queensland in its series Risk & Uncertainty Working Papers with number WP5R05.

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Date of creation: Jun 2005
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Handle: RePEc:rsm:riskun:r05_5

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  1. Karni, Edi, 1987. "Generalized Expected Utility Analysis of Risk Aversion with State-Dependent Preference," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 229-40, February.
  2. Karni, Edi, 1999. "Elicitation of Subjective Probabilities When Preferences Are State-Dependent," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 479-86, May.
  3. Grant, Simon & Karni, Edi, 2004. "A theory of quantifiable beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 515-546, August.
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