Constant, Increasing and Decreasing Risk Aversion with Many Commodities

DOI10.2307/2296884MaRDI QIDQ3929348zbMATHOpenAlexFDO

Authors Richard Kihlstrom, Leonard J. Mirman

Publication date 1981

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2296884

zbMATH Keywords

portfolio selectionrisk aversionordinal preferencessavings behaviormany commoditiescontinuous convex monotonic homothetic preference orderingleast concave representationutility functions of many variables

Mathematics Subject Classification ID

Individual preferences (91B08) Utility theory (91B16)

Cited in

(14)

• Disentangling intertemporal substitution and risk aversion under the expected utility theorem
• An existence result and a characterization of the least concave utility of homothetic preferences
• Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
• Multivariate decision-making
• Price uncertainty, saving, and welfare
• Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice
• Stochastic dominance with pair-wise risk aversion
• Measures of risk aversion with many commodities
• Multivariate risk premiums
• Risk neutrality regions
• Multidimensional risk aversion: the cardinal sin
• Morality, tax evasion, and equity
• Univariate and multivariate measures of risk aversion and risk premiums
• A contribution to duality theory, applied to the measurement of risk aversion

This page was built for publication: Constant, Increasing and Decreasing Risk Aversion with Many Commodities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3929348)