Complete monotonicity, background risk, and risk aversion

DOI10.1016/S0165-4896(97)00019-XzbMATH Open0915.90082OpenAlexW2107553674WikidataQ128116477 ScholiaQ128116477MaRDI QIDQ1277481FDOQ1277481

Authors: Jordi Caballé, Alexey Pomansky 

Publication date: 16 June 1999

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-4896(97)00019-x

Recommendations

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zbMATH Keywords

risk aversionbackground riskindex of absolute risk aversionmixed utilities

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Cites Work

• Title not available (Why is that?)
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Risk Aversion with Random Initial Wealth
• Changes in Background Risk and Risk Taking Behavior
• Risk Vulnerability and the Tempering Effect of Background Risk
• Risk Aversion in the Small and in the Large
• Title not available (Why is that?)
• Title not available (Why is that?)
• Mixed risk aversion
• Proper Risk Aversion
• Standard Risk Aversion
• Equilibrium asset prices with undiversifiable labor income risk

Cited In (4)

• Demand for risky assets and the monotone probability ratio order
• Background risk in generalized expected utility theory
• Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model

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