IDEAS home Printed from https://ideas.repec.org/r/ecm/emetrp/v45y1977i4p895-903.html
   My bibliography  Save this item

A Matrix Measure of Multivariate Local Risk Aversion

Citations

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


Cited by:

  1. Sudhir A. Shah, 2009. "Duality Mappings For The Theory of Risk Aversion with Vector Outcomes," Working Papers id:2085, eSocialSciences.
  2. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
  3. Christoph Heinzel, 2014. "Term structure of discount rates under multivariate s-ordered consumption growth," Working Papers SMART 14-01, INRAE UMR SMART.
  4. Sudhir A. Shah, 2016. "The Generalized Arrow-Pratt Coefficient," Working Papers id:10795, eSocialSciences.
  5. Crainich, David & Eeckhoudt, Louis & Le Courtois, Olivier, 2017. "Health and portfolio choices: A diffidence approach," European Journal of Operational Research, Elsevier, vol. 259(1), pages 273-279.
  6. Sudhir A. Shah, 2007. "Duality mappings for the theory of risk aversion with vector outcomes," Working papers 160, Centre for Development Economics, Delhi School of Economics.
  7. Antoine Bommier & François Le Grand, 2019. "Risk Aversion and Precautionary Savings in Dynamic Settings," Management Science, INFORMS, vol. 65(3), pages 1386-1397, March.
  8. Sudhir A. Shah, 2010. "Comparative Risk Aversion When the Outcomes are Vectors," Working Papers id:2907, eSocialSciences.
  9. Louis Eeckhoudt & Elisa Pagani & Eugenio Peluso, 2023. "Multidimensional risk aversion: the cardinal sin," Annals of Operations Research, Springer, vol. 320(1), pages 15-31, January.
  10. Eisenhauer, Joseph G., 2006. "Risk aversion and prudence in the large," Research in Economics, Elsevier, vol. 60(4), pages 179-187, December.
  11. Kannai, Yakar & Selden, Larry & Kang, Minwook & Wei, Xiao, 2016. "Risk neutrality regions," Journal of Mathematical Economics, Elsevier, vol. 62(C), pages 75-89.
  12. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques.
    • ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Ahmed, Mohamed M. & Preckel, Paul V. & Baker, Timothy G. & Lopez-Pereira, Miguel, 2001. "Modeling the impact of technological change on nutrition and marketed surplus," Agricultural Economics, Blackwell, vol. 25(1), pages 103-118, June.
  14. Sudhir A. Shah, 2006. "Comparative risk aversion when the outcomes are vectors," Working papers 149, Centre for Development Economics, Delhi School of Economics.
  15. Sudhir A. Shah, 2016. "The Generalized Arrow-Pratt Coefficient," Working papers 254, Centre for Development Economics, Delhi School of Economics.
  16. Robert Jarrow & Siguang Li, 2021. "Concavity, stochastic utility, and risk aversion," Finance and Stochastics, Springer, vol. 25(2), pages 311-330, April.
  17. Jouini, Elyès & Napp, Clotilde & Nocetti, Diego, 2013. "On multivariate prudence," Journal of Economic Theory, Elsevier, vol. 148(3), pages 1255-1267.
  18. Stewart Hodges & Hao Lin & Lan Liu, 2013. "Fixed Odds Bookmaking with Stochastic Betting Demands," European Financial Management, European Financial Management Association, vol. 19(2), pages 399-417, March.
  19. Kazem Falahati, 2021. "The Standard Model of Rational Risky Decision-Making," JRFM, MDPI, vol. 14(4), pages 1-24, April.
  20. Glenn W. Harrison & Jimmy Martínez-Correa, 2014. "Choice modeling and risk management," Chapters, in: Stephane Hess & Andrew Daly (ed.), Handbook of Choice Modelling, chapter 18, pages 413-426, Edward Elgar Publishing.
  21. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 437-467, October.
  22. Courbage, Christophe, 1999. "Primes de risque et soins de santé," L'Actualité Economique, Société Canadienne de Science Economique, vol. 75(4), pages 665-672, décembre.
  23. Karni, Edi & Schmeidler, David, 1990. "Utility Theory and Uncertainty," Foerder Institute for Economic Research Working Papers 275480, Tel-Aviv University > Foerder Institute for Economic Research.
  24. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
  25. Christophe Courbage, 2001. "On Bivariate Risk Premia," Theory and Decision, Springer, vol. 50(1), pages 29-34, February.
  26. Ali E. Abbas, 2011. "Decomposing the Cross Derivatives of a Multiattribute Utility Function into Risk Attitude and Value," Decision Analysis, INFORMS, vol. 8(2), pages 103-116, June.
  27. Marco G. Ercolani, 2004. "Risk aversion and risk loving in the small: a decomposition of the multivariate risk premium," Bulletin of Economic Research, Wiley Blackwell, vol. 56(1), pages 81-106, January.
  28. Yonatan Aumann, 2015. "A conceptual foundation for the theory of risk aversion," Discussion Paper Series dp686, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
  29. Ercolani, Marco, 2000. "The price augmented risk premium, theory and application," Economics Discussion Papers 8830, University of Essex, Department of Economics.
  30. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.