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On multiattributive risk aversion: some clarifying results


  • Gregor Dorfleitner


  • Michael Krapp


No abstract is available for this item.

Suggested Citation

  • Gregor Dorfleitner & Michael Krapp, 2007. "On multiattributive risk aversion: some clarifying results," Review of Managerial Science, Springer, vol. 1(1), pages 47-63, April.
  • Handle: RePEc:spr:rvmgts:v:1:y:2007:i:1:p:47-63 DOI: 10.1007/s11846-007-0004-8

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    References listed on IDEAS

    1. Taizhong Hu & Alfred Müller & Marco Scarsini, 2002. "Some Counterexamples in Positive Dependence," ICER Working Papers - Applied Mathematics Series 28-2003, ICER - International Centre for Economic Research, revised Jul 2003.
    2. Kihlstrom, Richard E. & Mirman, Leonard J., 1974. "Risk aversion with many commodities," Journal of Economic Theory, Elsevier, vol. 8(3), pages 361-388, July.
    3. Louis Eeckhoudt & Béatrice Rey & Harris Schlesinger, 2007. "A Good Sign for Multivariate Risk Taking," Management Science, INFORMS, vol. 53(1), pages 117-124, January.
    4. Larry G. Epstein & Stephen M. Tanny, 1980. "Increasing Generalized Correlation: A Definition and Some Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 13(1), pages 16-34, February.
    5. Pratt, John W, 1988. "Aversion to One Risk in the Presence of Others," Journal of Risk and Uncertainty, Springer, vol. 1(4), pages 395-413, December.
    6. Stapleton, R C & Subrahmanyam, Marti G, 1978. "A Multiperiod Equilibrium Asset Pricing Model," Econometrica, Econometric Society, vol. 46(5), pages 1077-1096, September.
    7. Scarsini, Marco, 1985. "Stochastic dominance with pair-wise risk aversion," Journal of Mathematical Economics, Elsevier, vol. 14(2), pages 187-201, April.
    8. repec:ebl:ecbull:v:4:y:2007:i:29:p:1-8 is not listed on IDEAS
    9. Christophe Courbage, 2002. "On bivariate risk aversion," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 30(1), pages 98-98, March.
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    Cited by:

    1. Antoine Bommier, 2010. "Portfolio Choice under Uncertain Lifetime," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(1), pages 57-73, February.
    2. Antoine Bommier & François Grand, 2014. "Too risk averse to purchase insurance?," Journal of Risk and Uncertainty, Springer, vol. 48(2), pages 135-166, April.
    3. Jochen Wilhelm & Josef Schosser, 2007. "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, vol. 1(2), pages 133-149, August.

    More about this item


    Multiattributive risk aversion; Partial risk aversion; Time and risk preferences; Multivariate utility functions; Additive utility functions; Valuation of risky cash streams; D81; C44;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory


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