When can expected utility handle first-order risk aversion?

DOI10.1016/J.JET.2014.09.019MaRDI QIDQ472207zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Georges Dionne, Jingyuan Li

Publication date 19 November 2014

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

Full work available at URL https://commons.ln.edu.hk/cgi/viewcontent.cgi?article=3445&context=sw_master

zbMATH Keywords

background riskconsumption risk in business cyclesequity premium puzzleexpected utility theoryfirst-order conditional dependent risk aversionrank-dependent expected utility model

Mathematics Subject Classification ID

Utility theory (91B16)

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Cites work

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• Continuous Bivariate Distributions
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• First order versus second order risk aversion
• First-order risk aversion and non-differentiability
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• Moments on truncated bivariate log-normal distributions
• Observing different orders of risk aversion
• On the covariance between functions
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Some Concepts of Dependence
• Stochastic Dominance and the Maximization of Expected Utility
• The Dual Theory of Choice under Risk
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

Cited in

(6)

• Diversification and risk attitudes toward two risks
• Financial risk taking in the presence of correlated non-financial background risk
• Preserving the Rothschild-Stiglitz type of increasing risk with background risk
• Risk aversion with two risks: a theoretical extension
• Confidence band for expectation dependence with applications
• The participation puzzle with reference-dependent expected utility preferences

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