Changing in Risk and Risk Taking: A Survey
We examine an important class of decision problem under uncertainty that entails the standarrd portfolio problem and the demand for coinsurance. The agent faces a controllable risk -his demand for a risky asset for example- and a background risk. We determine how a change in the distribution in one of these two risks affects the optimal exposure to thecontrollable risk. Restrictions to first order and scond order stochastic dominant orders are in general necessary to yield an unambiguous comparative statics property. We also present another line of research in which restrictions are made on preferences rather on stochastic dominance orders.
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|Date of creation:||1997|
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