On relative and partial risk attitudes: Theory and implications

W. Henry Chiu; Louis Eeckhoudt; Beatrice Rey

doi:10.1007/s00199-010-0557-7

On relative and partial risk attitudes: Theory and implications

W. Henry Chiu, Louis Eeckhoudt, Beatrice Rey

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

This paper develops context-free interpretations for the relative and partial Nth 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. © 2010 Springer-Verlag.

Original language	English
Pages (from-to)	151-167
Number of pages	16
Journal	Economic Theory
Volume	50
Issue number	1
DOIs	https://doi.org/10.1007/s00199-010-0557-7
Publication status	Published - May 2012

Keywords

Comparative statics
Nth degree risk
Relative risk aversion
Risk apportionment
Stochastic dominance

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10.1007/s00199-010-0557-7

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AB - This paper develops context-free interpretations for the relative and partial Nth 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. © 2010 Springer-Verlag.

KW - Comparative statics

KW - Nth degree risk

KW - Relative risk aversion

KW - Risk apportionment

KW - Stochastic dominance

U2 - 10.1007/s00199-010-0557-7

DO - 10.1007/s00199-010-0557-7

M3 - Article

VL - 50

SP - 151

EP - 167

JO - Economic Theory

JF - Economic Theory

IS - 1

ER -

On relative and partial risk attitudes: Theory and implications

Abstract

Keywords

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