IDEAS home Printed from https://ideas.repec.org/a/ecm/emetrp/v45y1977i4p895-903.html
   My bibliography  Save this article

A Matrix Measure of Multivariate Local Risk Aversion

Author

Listed:
  • Duncan, George T

Abstract

No abstract is available for this item.

Suggested Citation

  • Duncan, George T, 1977. "A Matrix Measure of Multivariate Local Risk Aversion," Econometrica, Econometric Society, vol. 45(4), pages 895-903, May.
  • Handle: RePEc:ecm:emetrp:v:45:y:1977:i:4:p:895-903
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0012-9682%28197705%2945%3A4%3C895%3AAMMOML%3E2.0.CO%3B2-K&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques.
      • ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    3. Christoph Heinzel, 2014. "Term structure of discount rates under multivariate s-ordered consumption growth," Working Papers SMART - LERECO 14-01, INRA UMR SMART-LERECO.
    4. Sudhir A. Shah, 2006. "Comparative risk aversion when the outcomes are vectors," Working papers 149, Centre for Development Economics, Delhi School of Economics.
    5. Sudhir A. Shah, 2016. "The Generalized Arrow-Pratt Coefficient," Working papers 254, Centre for Development Economics, Delhi School of Economics.
    6. Jouini, Elyès & Napp, Clotilde & Nocetti, Diego, 2013. "On multivariate prudence," Journal of Economic Theory, Elsevier, vol. 148(3), pages 1255-1267.
    7. Glenn W. Harrison & Jimmy Martínez-Correa, 2014. "Choice modeling and risk management," Chapters,in: Handbook of Choice Modelling, chapter 18, pages 413-426 Edward Elgar Publishing.
    8. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 437-467, October.
    9. Crainich, David & Eeckhoudt, Louis & Le Courtois, Olivier, 2017. "Health and portfolio choices: A diffidence approach," European Journal of Operational Research, Elsevier, vol. 259(1), pages 273-279.
    10. Courbage, Christophe, 1999. "Primes de risque et soins de santé," L'Actualité Economique, Société Canadienne de Science Economique, vol. 75(4), pages 665-672, décembre.
    11. Sudhir A. Shah, 2007. "Duality mappings for the theory of risk aversion with vector outcomes," Working papers 160, Centre for Development Economics, Delhi School of Economics.
    12. Ahmed, Mohamed M. & Preckel, Paul V. & Baker, Timothy G. & Lopez-Pereira, Miguel, 2001. "Modeling the impact of technological change on nutrition and marketed surplus," Agricultural Economics, Blackwell, vol. 25(1), pages 103-118, June.
    13. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
    14. Christophe Courbage, 2001. "On Bivariate Risk Premia," Theory and Decision, Springer, vol. 50(1), pages 29-34, February.
    15. Sudhir A. Shah, 2010. "Comparative Risk Aversion When the Outcomes are Vectors," Working Papers id:2907, eSocialSciences.
    16. Yonatan Aumann, 2015. "A conceptual foundation for the theory of risk aversion," Discussion Paper Series dp686, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
    17. Louis Raymond Eeckhoudt & Elisa Pagani & Eugenio Peluso, 2017. "Multidimensional Risk Aversion: The Cardinal Sin," Working Papers 12/2017, University of Verona, Department of Economics.
    18. Eisenhauer, Joseph G., 2006. "Risk aversion and prudence in the large," Research in Economics, Elsevier, vol. 60(4), pages 179-187, December.
    19. Ercolani, Marco, 2000. "The price augmented risk premium, theory and application," Economics Discussion Papers 8830, University of Essex, Department of Economics.
    20. Ahmed, Mohamed A. M. & Preckel, Paul V. & Baker, Timothy G. & Lopez-Pereira, Miguel, 2001. "Modeling the impact of technological change on nutrition and marketed surplus," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 25(1), June.
    21. Kannai, Yakar & Selden, Larry & Kang, Minwook & Wei, Xiao, 2016. "Risk neutrality regions," Journal of Mathematical Economics, Elsevier, vol. 62(C), pages 75-89.
    22. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:45:y:1977:i:4:p:895-903. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/essssea.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.