Increasing risk with state-dependent preferences

DOI10.1016/0022-0531(85)90068-7MaRDI QIDQ759604zbMATH OpenOpenAlexFDO

Authors Edi Karni

Publication date 1985

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

Full work available at URL https://doi.org/10.1016/0022-0531(85)90068-7

zbMATH Keywords

comparative statics analysisincreasing risk for state-dependent preferencesportfolio problemuncertainty

Mathematics Subject Classification ID

Decision theory (91B06) Individual preferences (91B08)

Review text

A definition of increasing risk for state-dependent preferences is introduced and its usefulness for the analysis of concrete economic problems is illustrated. For classes of individuals with the same reference set the notion of increasing risk has three equivalent characterizations analogous to those obtained in the case of state- independent preferences. The definition is used to conduct a comparative statics analysis of a portfolio problem with state-dependent preferences.

Recommendations

• Comparative risk aversion for state-dependent preferences
• Mean utility preserving increases in risk for state dependent utility functions
• Risk and risk aversion for state-dependent utility
• On the risk-aversion comparability of state-dependent utility functions
• Strong Increases in Risk and Their Comparative Statics

Cites work

• A bibliographical note on a theorem of Hardy, Littlewood, and Polya
• Increasing risk with state-dependent preferences
• Risk Aversion for State-Dependent Utility Functions: Measurement and Applications

Cited in

(21)

• Instrument-dependent randomness and increases in risk
• Mean utility preserving increases in risk for state dependent utility functions
• Lexicographic state-dependent subjective expected utility
• Subjective probabilities and utility with event-dependent preferences
• Recent developments in modeling preferences: Uncertainty and ambiguity
• State-independent subjective expected lexicographic utility
• Subjective probability under additive aggregation of conditional preferences
• Background risk and the demand for state-contingent claims
• Characterizing the efficient set when preferences are state-dependent
• Coherent decision analysis with inseparable probabilities and utilities
• Comparative risk aversion for state-dependent preferences
• A theorem for Bayesian group decisions
• Event-separability in the Ellsberg urn
• Risk, ambiguity, and state-preference theory
• Uncovering asset market participation from household consumption and income
• Increasing risk with state-dependent preferences
• Utility of gambling when events are valued: An application of inset entropy
• Risk and risk aversion when states of nature matter
• Behavioral probabilities
• The shape of incomplete preferences
• State dependent choice

This page was built for publication: Increasing risk with state-dependent preferences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q759604)