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) halshs-00211906, HAL.
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- 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. Full references (including those not matched with items on IDEAS)
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