Comparative risk aversion: a formal approach with applications to saving behavior (Q435921): Difference between revisions

The authors consider a formal approach to comparative risk aversion and apply it in three main directions. First, they discuss the extent to which standard classes of utility functions are well ordered in terms of risk aversion. Second, they discuss the role of risk aversion without focusing on any specific model of rationality. Third, they apply the setup to establish new general results on the role of risk aversion. In particular, they show that risk aversion enhances precautionary savings, clarifying the link between risk aversion and prudence.

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reviewed by

Pavel Stoynov

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zbMATH Keywords

risk aversion

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saving behavior

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precautionary savings

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utility function

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jet.2010.10.015

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cites work

A Definition of Subjective Probability

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Descriptive statistics for non-parametric models. III: Dispersion

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Saving under rank-dependent utility

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Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model

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Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour

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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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Q5615833

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Ambiguity made precise: A comparative foundation

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Increasing uncertainty: a definition

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Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results

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Temporal Resolution of Uncertainty and Dynamic Choice Theory

0 references

A measure of the sensitivity of saving to interest rate uncertainty with non-expected preferences

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Q4902563

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Convex functions and their applications. A contemporary approach

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Risk Aversion in the Small and in the Large

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A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis

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The Dual Theory of Choice under Risk

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Identifiers

zbMATH Open document ID

1246.91037

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DOI

10.1016/j.jet.2010.10.015

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:435921

@@ Property / review text @@
+The authors consider a formal approach to comparative risk aversion and apply it in three main directions.  First, they discuss the extent to which standard classes of utility functions are well ordered in terms of risk aversion.  Second, they discuss the role of risk aversion without focusing on any specific model of rationality.   Third, they apply the setup to establish new general results on the role of risk aversion. In particular, they show that risk aversion enhances precautionary savings, clarifying the link between risk aversion and prudence.
+Normal rank
@@ Property / reviewed by @@
+Pavel Stoynov
@@ Property / reviewed by: Pavel Stoynov / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B08
@@ Property / Mathematics Subject Classification ID: 91B08 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B82
@@ Property / Mathematics Subject Classification ID: 91B82 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B16
@@ Property / Mathematics Subject Classification ID: 91B16 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6055207
@@ Property / zbMATH DE Number: 6055207 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk aversion
@@ Property / zbMATH Keywords: risk aversion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+saving behavior
@@ Property / zbMATH Keywords: saving behavior / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+precautionary savings
@@ Property / zbMATH Keywords: precautionary savings / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+utility function
@@ Property / zbMATH Keywords: utility function / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q62629996
@@ Property / Wikidata QID: Q62629996 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jet.2010.10.015
+Normal rank
@@ Property / OpenAlex ID @@
+W3021786409
@@ Property / OpenAlex ID: W3021786409 / rank @@
+Normal rank
@@ Property / cites work @@
+A Definition of Subjective Probability
@@ Property / cites work: A Definition of Subjective Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Descriptive statistics for non-parametric models. III: Dispersion
+Normal rank
@@ Property / cites work @@
+Saving under rank-dependent utility
@@ Property / cites work: Saving under rank-dependent utility / rank @@
+Normal rank
@@ Property / cites work @@
+Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
+Normal rank
@@ Property / cites work @@
+Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour
+Normal rank
@@ Property / cites work @@
+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
+Normal rank
@@ Property / cites work @@
+Q5615833
@@ Property / cites work: Q5615833 / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity made precise: A comparative foundation
@@ Property / cites work: Ambiguity made precise: A comparative foundation / rank @@
+Normal rank
@@ Property / cites work @@
+Increasing uncertainty: a definition
@@ Property / cites work: Increasing uncertainty: a definition / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results
+Normal rank
@@ Property / cites work @@
+Temporal Resolution of Uncertainty and Dynamic Choice Theory
+Normal rank
@@ Property / cites work @@
+A measure of the sensitivity of saving to interest rate uncertainty with non-expected preferences
+Normal rank
@@ Property / cites work @@
+Q4902563
@@ Property / cites work: Q4902563 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex functions and their applications. A contemporary approach
+Normal rank
@@ Property / cites work @@
+Risk Aversion in the Small and in the Large
@@ Property / cites work: Risk Aversion in the Small and in the Large / rank @@
+Normal rank
@@ Property / cites work @@
+A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
+Normal rank
@@ Property / cites work @@
+The Dual Theory of Choice under Risk
@@ Property / cites work: The Dual Theory of Choice under Risk / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:435921