Duality Mappings For The Theory of Risk Aversion with Vector Outcomes
The Author considera a decision-making environment with an outcome space that is a convex and compact subset of a vector space belonging to a general class of such spaces. Given this outcome space,he defines general classes of (a) risk averse von Neumann-Morgenstern utility functions defined over the outcome space, (b) multi-valued mappings that yield the certainty equivalent outcomes corresponding to a lottery, (c) multi-valued mappings that yield the risk premia corresponding to a lottery, and (d) multi-valued mappings that yield the acceptance set of lotteries corresponding to an outcome. Their duality results establish that the usual mappings that generate (b), (c) and (d) from (a) are bijective.They apply these results to the problem of computing the value of financial assets to a risk averse decision-maker and show that this value will always be less than the arbitrage-free valuation.[CDS WP NO 160]
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Richard E. Kihlstrom & Leonard J. Mirman, 1981. "Constant, Increasing and Decreasing Risk Aversion with Many Commodities," Review of Economic Studies, Oxford University Press, vol. 48(2), pages 271-280.
- Grant, Simon & Kajii, Atsushi & Polak, Ben, 1992. "Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom," Journal of Economic Theory, Elsevier, vol. 56(2), pages 338-351, April.
- Juan Martínez-Legaz & John Quah, 2007. "A contribution to duality theory, applied to the measurement of risk aversion," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 30(2), pages 337-362, February.
- Grant, Simon & Kajii, Atsushi & Polak, Ben, 1992. "Many good choice Axioms: When can many-good lotteries be treated as money lotteries?," Journal of Economic Theory, Elsevier, vol. 56(2), pages 313-337, April.
When requesting a correction, please mention this item's handle: RePEc:ess:wpaper:id:2085. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Padma Prakash)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.