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Some Results on Comparative Statics under Uncertainty

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  • Cheng, Hsueh-Cheng
  • Magill, Michael J P
  • Shafer, Wayne J

Abstract

This paper presents results on comparative statics for a class of decision problems under uncertainty. Necessary and sufficient conditions are derived for parameter changes and stochastically dominant shifts in the return in the two-asset portfolio problem. These results give conditions for the demand for money to be inversely related to the rate of interest. Further applications include the qualitive behavior of aggregate savings under uncertainty and the production decision of a firm facing price uncertainty. Copyright 1987 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Suggested Citation

  • Cheng, Hsueh-Cheng & Magill, Michael J P & Shafer, Wayne J, 1987. "Some Results on Comparative Statics under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 493-507, June.
  • Handle: RePEc:ier:iecrev:v:28:y:1987:i:2:p:493-507
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    Cited by:

    1. Gollier Christian & Schlee Edward E, 2006. "Increased Risk-Bearing with Background Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-29, March.
    2. Wagener, Andreas, 2004. "On intergenerational risk sharing within social security schemes," European Journal of Political Economy, Elsevier, vol. 20(1), pages 181-206, March.
    3. Thomas Eichner & Andreas Wagener, 2002. "Increases in Risk and the Welfare State," CESifo Working Paper Series 685, CESifo Group Munich.
    4. Thomas Eichner & Andreas Wagener, 2005. "Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(1), pages 53-65, June.
    5. Chuang, O-Chia & Eeckhoudt, Louis & Huang, Rachel J. & Tzeng, Larry Y., 2013. "Risky targets and effort," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 465-468.
    6. Eeckhoudt, Louis & Etner, Johanna & Schroyen, Fred, 2009. "The values of relative risk aversion and prudence: A context-free interpretation," Mathematical Social Sciences, Elsevier, vol. 58(1), pages 1-7, July.
    7. W. Chiu & Louis Eeckhoudt & Beatrice Rey, 2012. "On relative and partial risk attitudes: theory and implications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(1), pages 151-167, May.
    8. Christian Gollier & James Hammitt & Nicolas Treich, 2013. "Risk and choice: A research saga," Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 129-145, October.
    9. Horowitz, I. & Thompson, P., 1995. "The sophisticated decision maker: All work and no pay?," Omega, Elsevier, vol. 23(1), pages 1-11, February.
    10. Hennessy, David A., 1993. "Applications of contingent claims theory to microeconomic problems," ISU General Staff Papers 1993010108000011822, Iowa State University, Department of Economics.
    11. Gao, Jianwei & Zhao, Feng, 2017. "Sufficient conditions of stochastic dominance for general transformations and its application in option strategy," Economics Discussion Papers 2017-40, Kiel Institute for the World Economy (IfW).
    12. Sunanda Roy, 2000. "Risk Sharing through Labor Contracts - Risk Aversion, Market Incompleteness and Employment," Econometric Society World Congress 2000 Contributed Papers 1767, Econometric Society.
    13. repec:zbw:ifweej:20181 is not listed on IDEAS
    14. Donald Meyer & Jack Meyer, 2005. "Relative Risk Aversion: What Do We Know?," Journal of Risk and Uncertainty, Springer, vol. 31(3), pages 243-262, December.
    15. Gelles, Gregory M. & Mitchell, Douglas W., 2002. "Increasingly mean-seeking utility functions and n-asset portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 911-919.

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