Multidimensional risk aversion: the cardinal sin (Q2678585)

Behaviour of a decision-maker under uncertainty and under risk aversion is studied. Influence of a newly introduced concept of multidimensional ``compensated risk aversion'' on the behaviour of the decision-maker is investigated. The authors develop the comparative risk aversion analysis by \textit{J. W. Pratt} [Econometrica 32, 122--136 (1964; Zbl 0132.13906)] in the multidimensional case. Theoretical results are illustrated by two applications, namely the application to the case of intrinsic aversion and to the case of intertemporal aversion. The results are presented in the main part of the paper for two dimensions and extended to a higher dimensional case in the Appendix at the end of the paper.