Local utility and multivariate risk aversion

DOI10.1287/MOOR.2015.0736MaRDI QIDQ2806814zbMATH OpenOpenAlexFDO

Authors Arthur Charpentier, Alfred Galichon, Marc Henry

Publication date 19 May 2016

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.06075, https://cirano.qc.ca/files/publications/2012s-17.pdf

zbMATH Keywords

multivariate risk aversionpessimismlocal utilitymultivariate Bickel-Lehmann dispersionmultivariate rank dependent utility

Mathematics Subject Classification ID

Utility theory (91B16)

Abstract: We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. We show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to the concavity of the local utility functions, thereby generalizing Machina's result in Machina (1982). To analyze comparative risk attitudes within the multivariate extension of rank dependent expected utility of Galichon and Henry (2011), we extend Quiggin's monotone mean and utility preserving increases in risk and show that the useful characterization given in Landsberger and Meilijson (1994) still holds in the multivariate case.

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Cited in

(6)

• Generalized Expected Utility Analysis of Multivariate Risk Aversion
• Multivariate stochastic dominance for risk averters and risk seekers
• Local utility functions
• Fear of loss, inframodularity, and transfers
• scientific article; zbMATH DE number 2119288 (Why is no real title available?)
• A strong (Ross) characterization of multivariate risk aversion

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