On relative and partial risk attitudes: theory and implications

DOI10.1007/s00199-010-0557-7zbMath1258.91098MaRDI QIDQ420994

W. Henry Chiu, Béatrice Rey, Louis R. Eeckhoudt

Publication date: 23 May 2012

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-010-0557-7

zbMATH Keywords

stochastic dominance; comparative statics; risk apportionment; \(N\)th degree risk; relative risk aversion

Mathematics Subject Classification ID

Related Items

AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL, A note on changes in additive risky benefits and risky costs, Comparing utility derivative premia under additive and multiplicative risks, Another look at risk apportionment, The LeChatelier principle for changes in risk, Higher-order risk vulnerability, Labor supply with stochastic wage rate and non-labor income uncertainty, Changes in multiplicative risks and optimal portfolio choice: new interpretations and results, The effects of stochastic wages and non-labor income on labor supply: update and extensions, Precautionary saving under many risks, A note on risky targets and effort, Precautionary saving in the presence of labor income and interest rate risks, A general theory of risk apportionment, Some conditions for the equivalence between risk aversion, prudence and temperance, New results for additive and multiplicative risk apportionment, Underestimation of probabilities modifications: characterization and economic implications, Incentive contracts under product market competition and R\&D spillovers, Changes in risk and strategic interaction, Portfolio allocation problems between risky and ambiguous assets, Precautionary retirement and precautionary saving, An interpretation of the condition for precautionary saving: the case of greater higher-order interest rate risk, Revisiting precautionary saving under ambiguity, Comparative statics in an ordinal theory of choice under risk, Greater Arrow-Pratt (absolute) risk aversion of higher orders, Risky targets and effort, Benchmark values for higher order coefficients of relative risk aversion

Cites Work

• Relative risk aversion: what do we know?
• Apportioning of risks via stochastic dominance
• The values of relative risk aversion and prudence: a context-free interpretation
• Demand fluctuations and capacity utilization under duopoly
• The impact of prudence on optimal prevention
• Increasing outer risk
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Some Results on Comparative Statics under Uncertainty
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Risk Aversion in the Small and in the Large
• On the Theory of Risk Aversion