Add to ORKGAbstract: In the literature, utility functions in the expected utility class are generically limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. This paper extends the concepts of order of conditional risk aversion to orders of conditional dependent risk aversion. We show that first-order conditional dependent risk aversion is consistent with the framework of the expected utility hypothesis. We relate our results to risk diversification and provide additional insights into its application in different economic and finance examples
We consider utility function partial orderings to predict comparative portfolio features with two ri...
This paper extends M. J. Machina's generalized expected utility analysis to preferences over multiva...
This paper extends Machina's (Econometrica 50 (1982), 277-323) characterization of risk aversion for...
In the literature, utility functions in the expected utility class are generically limited to second...
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expect...
In the literature, utility functions in the expected utility class are generically limited to second...
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expect...
Expected utility with rank dependent probability theory is a model of decision-making under risk whe...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
We identify new conditions ensuring risk aversion in the sense of Arrow–Pratt in a two-argument util...
In this paper, it is shown that for a wide range of risk-averse generalized expected utility prefere...
In this paper, it is shown that, for a wide range of risk-averse generalized expected utility prefer...
This paper studies comparative risk aversion between risk averse agents in the presence of a backgro...
This paper studies comparative risk aversion between risk averse agents in the presence of a backgro...
I study preferences defined on the set of real valued random variables as a model of economic behavi...
We consider utility function partial orderings to predict comparative portfolio features with two ri...
This paper extends M. J. Machina's generalized expected utility analysis to preferences over multiva...
This paper extends Machina's (Econometrica 50 (1982), 277-323) characterization of risk aversion for...
In the literature, utility functions in the expected utility class are generically limited to second...
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expect...
In the literature, utility functions in the expected utility class are generically limited to second...
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expect...
Expected utility with rank dependent probability theory is a model of decision-making under risk whe...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
We identify new conditions ensuring risk aversion in the sense of Arrow–Pratt in a two-argument util...
In this paper, it is shown that for a wide range of risk-averse generalized expected utility prefere...
In this paper, it is shown that, for a wide range of risk-averse generalized expected utility prefer...
This paper studies comparative risk aversion between risk averse agents in the presence of a backgro...
This paper studies comparative risk aversion between risk averse agents in the presence of a backgro...
I study preferences defined on the set of real valued random variables as a model of economic behavi...
We consider utility function partial orderings to predict comparative portfolio features with two ri...
This paper extends M. J. Machina's generalized expected utility analysis to preferences over multiva...
This paper extends Machina's (Econometrica 50 (1982), 277-323) characterization of risk aversion for...