On relative and partial risk attitudes: theory and implications
(2012) Economic Theory — Vol. 50, n° 1, p. 151-167 (2012)
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- Authors
- Abstract
- This paper develops context-free interpretations for the relative and partial Nth degree risk attitude measures and show that various conditions on theses measures are utility characterizations of the effects of scaling general stochastic changes in different settings. It is then shown that these characterizations can be applied to generalize comparative statics results in a number of important problems, including precautionary savings, optimal portfolio choice, and competitive firms under price uncertainty.
- Affiliations
University of Manchester Departmant of Economics IESEG School of Management, Lille LEM Université de Lyon LSAF
Citations
Chiu, W. H., Eeckhoudt, L., & Rey, B. (2012). On relative and partial risk attitudes: theory and implications. Economic Theory, 50(1), 151-167. https://doi.org/10.1007/s00199-010-0557-7 (Original work published 2012)