The class of mean-independent incremental risks defined with respect tfr an initial risk, or status quo, is shown tu coincide with the vector space of incremental risks generated from risks that are individually independent of the status quo. Using this characterization of mean independence, aversion toward independent risk increases, together with diversification preference for mean-independent risk increases, implies aversion toward mean-independent risk increases. By contrast, a nondiversifier who is averse ro independent risk increases may nonetheless strictly prefer certain mean-preserving increases in risk. Journal of Economic Literature Classification Numbers: D80 DSI. (C) 1996 Academic Press. Inc
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
Abstract: In the literature, utility functions in the expected utility class are generically limited...
This paper shows that a strictly increasing and risk averse utility function with decreasing absolut...
We present a necessary and sufficient condition on an agent s utility function for a simple mean pre...
Abstract: When uncertainty is associated with some intrinsically relevant states of nature, there is...
International audienceThis paper presents a characterization of weak risk aversion in terms of prefe...
This note presents a necessary and sufficient condition on an agent’s utility function for a simple ...
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice...
An increase in risk aversion, defined by a concavification of the utility function, does not always ...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
This paper proposes additional definitions of what it means for one decision maker to be more risk a...
This paper analyzes how the statistical properties of a risk affect the attitutde of individuals tow...
I study preferences defined on the set of real valued random variables as a model of economic behavi...
Social status concerns influence investors\u27 decisions by driving a wedge in attitudes toward aggr...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
Abstract: In the literature, utility functions in the expected utility class are generically limited...
This paper shows that a strictly increasing and risk averse utility function with decreasing absolut...
We present a necessary and sufficient condition on an agent s utility function for a simple mean pre...
Abstract: When uncertainty is associated with some intrinsically relevant states of nature, there is...
International audienceThis paper presents a characterization of weak risk aversion in terms of prefe...
This note presents a necessary and sufficient condition on an agent’s utility function for a simple ...
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice...
An increase in risk aversion, defined by a concavification of the utility function, does not always ...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
This paper proposes additional definitions of what it means for one decision maker to be more risk a...
This paper analyzes how the statistical properties of a risk affect the attitutde of individuals tow...
I study preferences defined on the set of real valued random variables as a model of economic behavi...
Social status concerns influence investors\u27 decisions by driving a wedge in attitudes toward aggr...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
Abstract: In the literature, utility functions in the expected utility class are generically limited...
This paper shows that a strictly increasing and risk averse utility function with decreasing absolut...