Restricted increases in risk aversion and their application

DOI10.1007/S00199-016-0978-ZMaRDI QIDQ2363427zbMATH OpenOpenAlexFDO

Authors Liqun Liu, Jack Meyer, Louis Eeckhoudt

Publication date 19 July 2017

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-016-0978-z

zbMATH Keywords

comparative risk aversioninsurance demandportfolio choiceself-protection

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10)

Recommendations

• Strong Increases in Risk and Their Comparative Statics
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Cites work

• A note on comparative downside risk aversion
• A Ratio Criterion for Signing the Effects of an Increase in Uncertainty
• An economic index of riskiness
• Comparative higher-degree Ross risk aversion
• Comparative mixed risk aversion: Definition and application to self-protection and willingness to pay
• Economic indices of absolute and relative riskiness
• Harsanyi's social aggregation theorem and the weak Pareto principle
• Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• Increases in Risk and Linear Payoffs
• Mixed risk aversion
• On the intensity of downside risk aversion
• Optimal insurance design of ambiguous risks
• Risk Aversion in the Small and in the Large
• Self-insurance, self-protection and increased risk aversion
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Strong Increases in Risk and Their Comparative Statics
• Strong one-switch utility
• Stronger measures of higher-order risk attitudes
• Substituting one risk increase for another: a method for measuring risk aversion
• The comparative statics of changes in risk revisited
• The dual theory of the smooth ambiguity model
• The economics of risk and time
• The monetary utility premium and interpersonal comparisons
• The Ross Characterization of Risk Aversion: Strengthening and Extension
• When Ross meets Bell: the linex utility function

Cited in

(19)

• Increases in prudence and increases in risk aversion
• Asset prices and changes in risk within a bivariate model
• Left-side strong increases in risk and their comparative statics
• Willingness to pay for stochastic improvements of future risk under different risk aversion
• Discrete Arrow-Pratt indexes for risk and uncertainty
• Portfolio choice in the model of expected utility with a safety-first component
• How do changes in risk and risk aversion affect self-protection with Selden/Kreps-Porteus preferences?
• Substituting one risk increase for another: a method for measuring risk aversion
• Intertemporal investment decisions on precautionary effort based on characterization of restricted Ross more risk aversion
• Multivariate Risk Aversion and Consumer Choice
• Decreasing Risk Aversion and Mean-Variance Analysis
• Strong Increases in Risk and Their Comparative Statics
• Increases in risk aversion and the distribution of portfolio payoffs
• Risk attitudes and the value of risk transformations
• Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models
• Investment decision-making on precautionary effort under characterization of restricted Ross more risk aversion
• Increases in Risk and Linear Payoffs
• Investment decision-making on precautionary effort conditional on random income
• Portfolio choice for increases in risk and prudence revisited

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