On relative and partial risk attitudes: theory and implications

On relative and partial risk attitudes: theory and implications

This paper develops context-free interpretations for the relative and partial TVth degree risk attitude measures and show that various conditions on theses measures are utility characterizations of the effects of scaling general stochastic changes in different settings. It is then shown that these c...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Economic theory 2012-05, Vol.50 (1), p.151-167
Hauptverfasser: Chiu, W. Henry, Eeckhoudt, Louis, Rey, Beatrice
Format: Artikel
Sprache:eng
Schlagworte:
Attitudes
Comparative analysis
Competitive firms
Economic models
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Expected utility
Game Theory
Humanities and Social Sciences
Interest rate risk
Investment analysis
Investment risk
Lotteries
Microeconomics
Portfolio management
Precautionary savings
Public Finance
Random variables
Research Article
Risk aversion
Risk aversion preference
Risk management
Skewed distribution
Social and Behav. Sciences
Stochastic processes
Studies
Utility functions
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This paper develops context-free interpretations for the relative and partial TVth degree risk attitude measures and show that various conditions on theses measures are utility characterizations of the effects of scaling general stochastic changes in different settings. It is then shown that these characterizations can be applied to generalize comparative statics results in a number of important problems, including precautionary savings, optimal portfolio choice, and competitive firms under price uncertainty.
ISSN:0938-2259
1432-0479
DOI:10.1007/s00199-010-0557-7