Linear-Risk-Tolerant, Invariant Risk Preferences
Quiggin and Chambers have introduced the notion of invariant preferences, and shown that the only invariant expected-utility functionals are those associated with a quadratic utility function. This note identifies the class of preferences which simultaneously satisfy invariance, two-fund portfolio separation, and linear risk tolerance to determine if there exist meaningful classes of preferences, which inherit much of the quadratic family's theoretical and empirical tractability, but do not necessarily inherit its more unattractive properties when regarded as preferences over wealth.
|Date of creation:||Apr 2004|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +61 7 3365 6601
Fax: +61 7 3365 6601
Web page: http://www.uq.edu.au/rsmg/index.htm
More information through EDIRC
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.:
- Quiggin, John & Chambers, R.G.Robert G., 2004. "Invariant risk attitudes," Journal of Economic Theory, Elsevier, vol. 117(1), pages 96-118, July.
- Robert G. Chambers & John Quiggin, 2007.
"Dual Approaches to the Analysis of Risk Aversion,"
London School of Economics and Political Science, vol. 74(294), pages 189-213, 05.
- Chambers, Robert G & Quiggin, John, 2006. "Dual approaches to the analysis of risk aversion," Risk and Sustainable Management Group Working Papers 151175, University of Queensland, School of Economics.
- Robert G. Chambers & John Quiggin, 2006. "Dual Approaches to the Analysis of Risk Aversion," Risk & Uncertainty Working Papers WPR06_1, Risk and Sustainable Management Group, University of Queensland.
- Chambers, Robert G. & Quiggin, John C., 2002. "Dual Approaches To The Analysis Of Risk Aversion," Working Papers 28606, University of Maryland, Department of Agricultural and Resource Economics.
- Safra, Zvi & Segal, Uzi, 1998. "Constant Risk Aversion," Journal of Economic Theory, Elsevier, vol. 83(1), pages 19-42, November.
- Chambers, Robert G, 2001. "Consumer's Surplus As an Exact and Superlative Cardinal Welfare Indicator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 105-19, February.
- Luenberger, David G., 1992. "Benefit functions and duality," Journal of Mathematical Economics, Elsevier, vol. 21(5), pages 461-481.
- Quiggin, John & Chambers, Robert G, 1998. "Risk Premiums and Benefit Measures for Generalized-Expected-Utility Theories," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 121-37, November.
- Yaari, Menahem E., 1969. "Some remarks on measures of risk aversion and on their uses," Journal of Economic Theory, Elsevier, vol. 1(3), pages 315-329, October.
- Blackorby, Charles & Donaldson, David, 1980. "A Theoretical Treatment of Indices of Absolute Inequality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 107-36, February.
- Chambers, Robert G. & Chung, Yangho & Fare, Rolf, 1996. "Benefit and Distance Functions," Journal of Economic Theory, Elsevier, vol. 70(2), pages 407-419, August.
When requesting a correction, please mention this item's handle: RePEc:rsm:riskun:r04_3. 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: (David Adamson)
If references are entirely missing, you can add them using this form.