Complete monotonicity, background risk, and risk aversion

DOI10.1016/S0165-4896(97)00019-XMaRDI QIDQ1277481zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

risk aversionbackground riskindex of absolute risk aversionmixed utilities

Mathematics Subject Classification ID

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

Recommendations

• Risk preferences and changes in background risk
• Risk Vulnerability and the Tempering Effect of Background Risk
• Background risk in generalized expected utility theory
• Risk aversion with two risks: a theoretical extension

Cites work

• scientific article; zbMATH DE number 3528170 (Why is no real title available?)
• scientific article; zbMATH DE number 6846220 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3108056 (Why is no real title available?)
• Changes in Background Risk and Risk Taking Behavior
• Equilibrium asset prices with undiversifiable labor income risk
• Mixed risk aversion
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Proper Risk Aversion
• Risk Aversion in the Small and in the Large
• Risk Aversion with Random Initial Wealth
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion

Cited in

(4)

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

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