Supermodularity and the Comparative Statics of Risk
In this article, 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. In particular, a range of concepts of decreasing absolute risk aversion may be formulated in terms of the supermodularity properties of certainty equivalent representations of preferences. Copyright Springer Science+Business Media, LLC 2007
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Volume (Year): 62 (2007)
Issue (Month): 2 (March)
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- Alain Chateauneuf & Michèle Cohen & Isaac Meilijson, 2005.
"More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
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