Constant, Increasing and Decreasing Risk Aversion with Many Commodities

DOI10.2307/2296884zbMath0474.90013OpenAlexW2038119447MaRDI QIDQ3929348

Richard Kihlstrom, Leonard J. Mirman

Publication date: 1981

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2296884

zbMATH Keywords

ordinal preferencesrisk aversionportfolio selectionsavings behaviormany commoditiescontinuous convex monotonic homothetic preference orderingleast concave representationutility functions of many variables

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08)

Related Items (14)

Multivariate risk premiums ⋮ Morality, tax evasion, and equity ⋮ An existence result and a characterization of the least concave utility of homothetic preferences ⋮ A contribution to duality theory, applied to the measurement of risk aversion ⋮ Measures of risk aversion with many commodities ⋮ Multidimensional risk aversion: the cardinal sin ⋮ Risk neutrality regions ⋮ Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice ⋮ Price uncertainty, saving, and welfare ⋮ Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors ⋮ Multivariate decision-making ⋮ Disentangling intertemporal substitution and risk aversion under the expected utility theorem ⋮ Univariate and multivariate measures of risk aversion and risk premiums ⋮ Stochastic dominance with pair-wise risk aversion

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