A contribution to duality theory, applied to the measurement of risk aversion

DOI10.1007/S00199-005-0053-7MaRDI QIDQ868602zbMATH OpenOpenAlexWikidataFDO

Authors Juan-Enrique Martínez-Legaz, John K.-H. Quah

Publication date 6 March 2007

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-005-0053-7

zbMATH Keywords

Bernoulli utility functionconcavitycost curvesdualityhomothetic preferencesindirect utility functionproduction function

Mathematics Subject Classification ID

Individual preferences (91B08) Utility theory (91B16) Consumer behavior, demand theory (91B42)

Review text

The paper characterizes the relationship between an agent's risk attitudes over income and his risk attitudes over the goods he consumes with that income. The results are obtained by means of representation theorems for concave functions.

Recommendations

• Risk and Utility in the Duality Framework of Convex Analysis
• Risk aversion in the small and Jensen inequalities
• The Dual Theory of Choice under Risk
• Concave/convex weighting and utility functions for risk: a new light on classical theorems
• Concavity, stochastic utility, and risk aversion

Cites work

• A Matrix Measure of Multivariate Local Risk Aversion
• Arrow-Pratt Measures of Risk Aversion: The Multivariate Case
• Behavior Towards Risk with Many Commodities
• Constant, Increasing and Decreasing Risk Aversion with Many Commodities
• scientific article; zbMATH DE number 3910084 (Why is no real title available?)
• Microeconomic theory
• On Multivariate Risk Aversion
• Risk Aversion and Consumer Preferences
• Risk Aversion in the Small and in the Large
• The Law of Demand and Risk Aversion
• The Monotonicity of Individual and Market Demand

Cited in

(7)

• Measurement of relative inequity and Yaari's dual theory of risk.
• General dual measures of riskiness
• Welfare variations and the comparative statics of demand
• Duality and consumption decisions under income and price risk
• Is there a plausible theory for decision under risk? A dual calibration critique
• scientific article; zbMATH DE number 1082126 (Why is no real title available?)
• Preferences over location-scale family

This page was built for publication: A contribution to duality theory, applied to the measurement of risk aversion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q868602)