Some theory of bivariate risk attitude
In past years the study of the impact of risk attitude among risks has become a major topic, in particular in Decision Sciences. Subsequently the attention was devoted to the more general case of bivariate random variables. The first approach to multivariate risk aversion was proposed by de Finetti (1952) and Richard (1975) and it is related to the bivariate case. More recently, multivariate risk aversion has been studied by Scarsini (1985, 1988, 1999). Nevertheless even if decision problems with consequences described by more than two attributes have become increasingly important, some questions appear not completely solved. This paper concerns with a definition of bivariate risk aversion which is related to a particular type of concordance: a bivariate risk averse Decision Maker is a Decision Maker who always prefers the independent version of a bivariate random variable to the random variable itself.
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.:
- Marco Scarsini & A. Müller & Taizhong Hu, 2004.
"Some counterexamples in positive dependence,"
- Marco Scarsini & Alfred Muller, 2000.
"Some remarks on the supermodular order,"
- Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
- Larry G. Epstein & Stephen M. Tanny, 1980. "Increasing Generalized Correlation: A Definition and Some Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 13(1), pages 16-34, February.
- Marco Scarsini & Michel Denuit & Claude Lefevre, 2001.
"On S-convexity and risk aversion,"
- Marco Scarsini & Israel Finkelshtain & Offer Kella, 1999.
"On risk aversion with two risks,"
- Marco Scarsini, 1988.
"Dominance Conditions for Multivariate Utility Functions,"
INFORMS, vol. 34(4), pages 454-460, April.
- Marco Scarsini, 1988. "Dominance Conditions for Multivariate Utility Functions," Post-Print hal-00542237, HAL.
- Kihlstrom, Richard E. & Mirman, Leonard J., 1974. "Risk aversion with many commodities," Journal of Economic Theory, Elsevier, vol. 8(3), pages 361-388, July.
- Rothschild, Michael & Stiglitz, Joseph E., 1972. "Addendum to "increasing risk: I. A definition"," Journal of Economic Theory, Elsevier, vol. 5(2), pages 306-306, October.
- Scarsini, Marco, 1985.
"Stochastic dominance with pair-wise risk aversion,"
Journal of Mathematical Economics,
Elsevier, vol. 14(2), pages 187-201, April.
- Landsberger, Michael & Meilijson, Isaac, 1990. "A Tale of Two Tails: An Alternative Characterization of Comparative Risk," Journal of Risk and Uncertainty, Springer, vol. 3(1), pages 65-82, March.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpga:0411009. 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: (EconWPA)
If references are entirely missing, you can add them using this form.