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Comparative Risk Aversion under Background Risks Revisited

  • Masamitsu Ohnishi


    (Graduate School of Economics, Osaka University)

  • Yusuke Osaki


    (JSPS Research Fellow)

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    This note determines a sufficient condition on (von Neumann-Morgenstern) utility functions to preserve (reserve) comparative risk aversion under general background risks. Our condition is weaker than the one determined by Nachman (1982, Journal of Economic Theory). Nachmanfs condition requires the monotonicity in the global sense, in other hand our condition only requires it in the local sense. And this generalization may make the condition on utility functions to hold the desirable property consisitent with the recent empirical observation.

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    Paper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 06-16.

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    Length: 12 pages
    Date of creation: Jun 2006
    Date of revision:
    Handle: RePEc:osk:wpaper:0616
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