On relative and partial risk attitudes: theory and implications

DOI10.1007/s00199-010-0557-7zbMath1258.91098OpenAlexW2090421592MaRDI QIDQ420994

W. Henry Chiu, Béatrice Rey, Louis R. Eeckhoudt

Publication date: 23 May 2012

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-010-0557-7

zbMATH Keywords

stochastic dominancecomparative staticsrisk apportionment\(N\)th degree riskrelative risk aversion

Mathematics Subject Classification ID

Related Items (26)

Precautionary saving under many risks ⋮ AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL ⋮ Another look at risk apportionment ⋮ A note on risky targets and effort ⋮ The LeChatelier principle for changes in risk ⋮ A note on changes in additive risky benefits and risky costs ⋮ Precautionary saving in the presence of labor income and interest rate risks ⋮ Some conditions for the equivalence between risk aversion, prudence and temperance ⋮ Comparing utility derivative premia under additive and multiplicative risks ⋮ Greater Arrow-Pratt (absolute) risk aversion of higher orders ⋮ New results for additive and multiplicative risk apportionment ⋮ Risky targets and effort ⋮ Benchmark values for higher order coefficients of relative risk aversion ⋮ Higher-order risk vulnerability ⋮ A general theory of risk apportionment ⋮ Underestimation of probabilities modifications: characterization and economic implications ⋮ Incentive contracts under product market competition and R\&D spillovers ⋮ Changes in risk and strategic interaction ⋮ The effects of stochastic wages and non-labor income on labor supply: update and extensions ⋮ Portfolio allocation problems between risky and ambiguous assets ⋮ Labor supply with stochastic wage rate and non-labor income uncertainty ⋮ Precautionary retirement and precautionary saving ⋮ Changes in multiplicative risks and optimal portfolio choice: new interpretations and results ⋮ An interpretation of the condition for precautionary saving: the case of greater higher-order interest rate risk ⋮ Revisiting precautionary saving under ambiguity ⋮ Comparative statics in an ordinal theory of choice under risk

Cites Work

• Relative risk aversion: what do we know?
• Apportioning of risks via stochastic dominance
• The values of relative risk aversion and prudence: a context-free interpretation
• Demand fluctuations and capacity utilization under duopoly
• The impact of prudence on optimal prevention
• Increasing outer risk
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Some Results on Comparative Statics under Uncertainty
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Risk Aversion in the Small and in the Large
• On the Theory of Risk Aversion

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