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Risk and risk aversion when states of nature matter

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  • Jan Werner

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  • Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(2), pages 231-246, November.
  • Handle: RePEc:spr:joecth:v:41:y:2009:i:2:p:231-246 DOI: 10.1007/s00199-008-0388-y
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    References listed on IDEAS

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    1. Rothschild, Michael & Stiglitz, Joseph E., 1973. "Some further results on the measurement of inequality," Journal of Economic Theory, Elsevier, pages 188-204.
    2. Matthew Rabin, 2000. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Econometrica, Econometric Society, vol. 68(5), pages 1281-1292, September.
    3. Simon Grant & Atsushi Kajii, 2005. "Probabilistically Sophisticated Multiple Priors," KIER Working Papers 608, Kyoto University, Institute of Economic Research.
    4. Werner, Jan, 2005. "A simple axiomatization of risk-averse expected utility," Economics Letters, Elsevier, vol. 88(1), pages 73-77, July.
    5. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    6. Dasgupta, Partha & Sen, Amartya & Starrett, David, 1973. "Notes on the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 6(2), pages 180-187, April.
    7. Zilcha, Itzhak & Chew, Soo Hong, 1990. "Invariance of the efficient sets when the expected utility hypothesis is relaxed," Journal of Economic Behavior & Organization, Elsevier, vol. 13(1), pages 125-131, January.
    8. Chateauneuf, A. & Dana, R.-A, & Tallon, J.-M., 1997. "Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility," Papiers d'Economie Mathématique et Applications 97.54, Université Panthéon-Sorbonne (Paris 1).
    9. Peleg, Bezalel & Yaari, M E, 1975. "A Price Characterization of Efficient Random Variables," Econometrica, Econometric Society, vol. 43(2), pages 283-292, March.
    10. Hong Chew Soo & Hui Mao Mei, 1995. "A Schur Concave Characterization of Risk Aversion for Non-expected Utility Preferences," Journal of Economic Theory, Elsevier, vol. 67(2), pages 402-435, December.
    11. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    12. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
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    Citations

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    Cited by:

    1. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
    2. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
    3. repec:rsr:supplm:v:65:y:2017:i:6:p:40-50 is not listed on IDEAS
    4. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    5. Alexandru Manole & Madalina Anghel & Emilia Stanciu & Alexandru Badiu, 2016. "Analysis models for the financial risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 73-80, September.

    More about this item

    Keywords

    Mean-independent risk; Risk aversion; Conditional expectations; Efficient claims; D81; G11;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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