IDEAS home Printed from https://ideas.repec.org/p/xrs/sfbmaa/04-22.html

Risk Aversion in the Small and in the Large When Outcomes Are Multidimensional

Author

Listed:
  • Hellwig, Martin

    (Sonderforschungsbereich 504)

Abstract

The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multidimensional. A weak concept, �commodity specific greater risk aversion�, is based on the comparison of risk premia paid in a specified commodity. A stronger concept, �uniformly greater risk aversion� is based on the comparison of risk premia regardless of what commodities are used for payment. Neither concept presumes that von Neumann-Morgenstern utility functions are ordinally equivalent. Nonincreasing consumption specific risk aversion is shown to be sufficient to make randomization undesirable in an agency problem with hidden characteristics.

Suggested Citation

  • Hellwig, Martin, 2004. "Risk Aversion in the Small and in the Large When Outcomes Are Multidimensional," Sonderforschungsbereich 504 Publications 04-22, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:04-22
    Note: Research support from Deutsche Forschungsgemeinschaft through Sonderforschungsbereich 504, at the University of Mannheim, is gratefully acknowledged.
    as

    Download full text from publisher

    File URL: http://www.sfb504.uni-mannheim.de/publications/dp04-22.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sudhir A. Shah, 2016. "The Generalized Arrow-Pratt Coefficient," Working papers 254, Centre for Development Economics, Delhi School of Economics.
    2. Christoph Engel, 2006. "The Difficult Reception of Rigorous Descriptive Social Science in the Law," Discussion Paper Series of the Max Planck Institute for Behavioral Economics 2006_1, Max Planck Institute for Behavioral Economics.
    3. Hellwig, Martin F., 2007. "The undesirability of randomized income taxation under decreasing risk aversion," Journal of Public Economics, Elsevier, vol. 91(3-4), pages 791-816, April.
    4. Martin Hellwig, 2008. "A Maximum Principle for Control Problems with Monotonicity Constraints," Discussion Paper Series of the Max Planck Institute for Behavioral Economics 2008_04, Max Planck Institute for Behavioral Economics.
    5. Kannai, Yakar & Selden, Larry & Kang, Minwook & Wei, Xiao, 2016. "Risk neutrality regions," Journal of Mathematical Economics, Elsevier, vol. 62(C), pages 75-89.

    More about this item

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

    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:xrs:sfbmaa:04-22. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Carsten Schmidt The email address of this maintainer does not seem to be valid anymore. Please ask Carsten Schmidt to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/sfmande.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.