On the risk-aversion comparability of state-dependent utility functions
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This paper proposes a criterion for the partial ordering of state- dependent utility functions according to risk attitude. It is proved that if two or more state-dependent utility functions satisfy a global condition on cross-state marginal utilities on the set of sure wealths, then they can be compared by means of Arrow-Pratt measures of risk aversion. This criterion is contrasted with that proposed by \textit{E. Karni} [Int. Econ. Rev. 24, 637-647 (1983; Zbl 0524.90010)].
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Cites work
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- Multivariate decision-making
- On State Dependent Preferences and Subjective Probabilities
- Optimal insurance and generalized deductibles
- Risk Aversion for State-Dependent Utility Functions: Measurement and Applications
- Risk Aversion in the Small and in the Large
Cited in
(7)- Mean utility preserving increases in risk for state dependent utility functions
- Risk and risk aversion for state-dependent utility
- Concavity, stochastic utility, and risk aversion
- Comparing financial investments by their state dependent returns: A one-way log utility representation
- Comparative risk aversion for state-dependent preferences
- Risk, ambiguity, and state-preference theory
- Increasing risk with state-dependent preferences
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