IDEAS home Printed from https://ideas.repec.org/p/unm/umamet/2006011.html

On the effect of risk aversion in two-person, two-state finance economies

Author

Listed:
  • Berden, C.

    (Quantitative Economics)

  • Peters, H.J.M.

    (Quantitative Economics)

Abstract

The effect of replacing an agent in a two-person two-state finance economy by a more risk averse agent is studied. It is established under which conditions the other agent benefits or looses in equilibrium from dealing with a more risk averse agent. If one agent becomes more risk averse, then the equilibrium allocation moves towards that agent's certainty line. Whether or not that is beneficial for the other agent depends on the location of the endowment point.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Berden, C. & Peters, H.J.M., 2006. "On the effect of risk aversion in two-person, two-state finance economies," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    • Handle: RePEc:unm:umamet:2006011
    DOI: 10.26481/umamet.2006011
    as

    Download full text from publisher

    File URL: https://cris.maastrichtuniversity.nl/ws/files/1624555/guid-b0e41adc-56f5-46ab-af36-325a6c4dcb8c-ASSET1.0.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.26481/umamet.2006011?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kobberling, Veronika & Peters, Hans, 2003. "The effect of decision weights in bargaining problems," Journal of Economic Theory, Elsevier, vol. 110(1), pages 154-175, May.
    2. Claus-Jochen Haake & Bettina Klaus, 2009. "Monotonicity and Nash implementation in matching markets with contracts," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(3), pages 393-410, December.
    3. Caroline Berden & Hans Peters, 2006. "On the Effect of Risk Aversion in Bimatrix Games," Theory and Decision, Springer, vol. 60(4), pages 359-370, June.
    4. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bram Driesen & Andrés Perea & Hans Peters, 2010. "On Loss Aversion in Bimatrix Games," Theory and Decision, Springer, vol. 68(4), pages 367-391, April.
    2. Boyle, Glenn & Irwin, Tim, 2004. "Valuing Managerial Flexibility: A Child's Guide to Real Options," Working Paper Series 3876, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    3. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
    4. Guillaume Carlier & Rose-Anne Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Sciences Po Economics Publications (main) hal-01053549, HAL.
    5. Claus-Jochen Haake & Bettina Klaus, 2010. "Stability and Nash implementation in matching markets with couples," Theory and Decision, Springer, vol. 69(4), pages 537-554, October.
    6. Hatfield, John William & Kominers, Scott Duke, 2017. "Contract design and stability in many-to-many matching," Games and Economic Behavior, Elsevier, vol. 101(C), pages 78-97.
    7. Driesen, Bram & Perea, Andrés & Peters, Hans, 2012. "Alternating offers bargaining with loss aversion," Mathematical Social Sciences, Elsevier, vol. 64(2), pages 103-118.
    8. Flåm, Sjur Didrik, 2002. "Full Coverage for Minor, Recurrent Losses?," Working Papers in Economics 10/02, University of Bergen, Department of Economics.
    9. Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
    10. repec:dau:papers:123456789/9713 is not listed on IDEAS
    11. Hennessy, David A., 2009. "Crop Yield Skewness and the Normal Distribution," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 34(01), pages 1-19, April.
    12. Bloise, Gaetano & Polemarchakis, Herakles & Vailakis, Yiannis, 2017. "Sovereign debt and incentives to default with uninsurable risks," Theoretical Economics, Econometric Society, vol. 12(3), September.
    13. Bejan, Camelia, 2008. "Production and financial decisions under uncertainty," MPRA Paper 11033, University Library of Munich, Germany.
    14. repec:dau:papers:123456789/5374 is not listed on IDEAS
    15. Takashi Hayashi & Toyotaka Sakai, 2009. "Nash implementation of competitive equilibria in the job-matching market," International Journal of Game Theory, Springer;Game Theory Society, vol. 38(4), pages 453-467, November.
    16. Giulio Tarditi, 2011. "Affine Term Structure Constraints on Euribor data," Department of Economics University of Siena 613, Department of Economics, University of Siena.
    17. Sjur D. Flåm & Jan-J. Rückmann, 2022. "The Lagrangian, constraint qualifications and economics," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 215-232, October.
    18. Yao, Haixiang & Li, Danping & Wu, Huiling, 2022. "Dynamic trading with uncertain exit time and transaction costs in a general Markov market," International Review of Financial Analysis, Elsevier, vol. 84(C).
    19. Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007. "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2517-2534, August.
    20. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
    21. Essig, Lothar & Reil-Held, Anette, 2004. "Chancen und Risiken der "Riester-Rente"," Papers 04-67, Sonderforschungsbreich 504.
    22. Chiaki Hara, 2006. "Heterogeneous Risk Attitudes In A Continuous‐Time Model," The Japanese Economic Review, Japanese Economic Association, vol. 57(3), pages 377-405, September.

    More about this item

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:unm:umamet:2006011. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Andrea Willems or Angie Figueroa Alarcon (email available below). General contact details of provider: https://edirc.repec.org/data/meteonl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.