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Risk aversion and relationships in model-free

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Abstract

This paper belongs to the study of decision making under risk. We will be interested in modeling the behavior of decision makers (hereafter referred to as DM) when they are facing risky choices. We first introduce both the general framework of decision making problem under risk and the different models of choice under risk that are well recognized in the literature. Then, we review different concepts of some increase in risk and risk aversion that are valid independently of any representation. We will introduce two new forms of behaviors under risk namely weak weak risk aversion and anti-monotone risk aversion. Note that the latter is related to anti-comonotony (a concept investigated in Abouda, Aouani and Chateauneuf (2008)) and represents a halfway between monotone and weak risk aversion. Finally, we discuss the relationships -in model-free- among some of these behaviors

Suggested Citation

  • Moez Abouda & Elyess Farhoud, 2010. "Risk aversion and relationships in model-free," Documents de travail du Centre d'Economie de la Sorbonne 10041, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Handle: RePEc:mse:cesdoc:10041
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    File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2010/10041.pdf
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    References listed on IDEAS

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    1. Pierpaolo Benigno & Michael Woodford, 2005. "Inflation Stabilization And Welfare: The Case Of A Distorted Steady State," Journal of the European Economic Association, MIT Press, pages 1185-1236.
    2. Sutherland, Alan, 2002. "A Simple Second-Order Solution Method For Dynamic General Equilibrium Models," CEPR Discussion Papers 3554, C.E.P.R. Discussion Papers.
    3. Aubhik Khan & Robert G. King & Alexander L. Wolman, 2003. "Optimal Monetary Policy," Review of Economic Studies, Oxford University Press, pages 825-860.
    4. Attanasio, Orazio P, et al, 1999. "Humps and Bumps in Lifetime Consumption," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 22-35, January.
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    More about this item

    Keywords

    Risk aversion; model-free concepts; relationships; anti-comonotone; SMRA; MRA; ARA; WWRA;

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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