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Economic Consequences of Nth-Degree Risk Increases and Nth-Degree Risk Attitudes

Listed author(s):
  • Elyès Jouini

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS - Centre National de la Recherche Scientifique - Université Paris-Dauphine)

  • Clotilde Napp

    ()

    (DRM - DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

  • Diego Nocetti

    ()

    (Clarkson University - Clarkson University - Clarkson University)

We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions : novel notions of directional Nth-degree risk aversion that are characterized via preferences over lotteries.

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File URL: https://halshs.archives-ouvertes.fr/halshs-00927270/document
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Paper provided by HAL in its series Post-Print with number halshs-00927270.

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Date of creation: 01 Oct 2013
Publication status: Published in Journal of Risk and Uncertainty, Springer Verlag, 2013, 47 (2), pp.199-224. <10.1007/s11166-013-9176-6>
Handle: RePEc:hal:journl:halshs-00927270
DOI: 10.1007/s11166-013-9176-6
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00927270
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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