Constant, Increasing and Decreasing Risk Aversion with Many Commodities

DOI10.2307/2296884MaRDI QIDQ3929348zbMATH OpenOpenAlexFDO

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)

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

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