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Comparative Statics Predictions for Changes in Uncertainty in the Portfolio and Savings Problems

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  • Choi, Gyemyung
  • Kim, Iltae
  • Snow, Arthur

Abstract

The paper investigates comparative statics effects of changes in uncertainty for a general family of problems that encompasses both the portfolio and saving decisions. Conditions are derived on preferences that are necessary and sufficient for unambiguous comparative statics predictions. The paper consolidates and completes the statement of restrictions on attitudes toward risk-bearing needed for determinate predictions in the portfolio and saving problems. Copyright 2001 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

Suggested Citation

  • Choi, Gyemyung & Kim, Iltae & Snow, Arthur, 2001. "Comparative Statics Predictions for Changes in Uncertainty in the Portfolio and Savings Problems," Bulletin of Economic Research, Wiley Blackwell, vol. 53(1), pages 61-72, January.
    • Handle: RePEc:bla:buecrs:v:53:y:2001:i:1:p:61-72
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    Cited by:

    1. Wagener, Andreas, 2004. "On intergenerational risk sharing within social security schemes," European Journal of Political Economy, Elsevier, vol. 20(1), pages 181-206, March.
    2. Thomas Eichner & Andreas Wagener, 2005. "Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(1), pages 53-65, June.
    3. Eeckhoudt, Louis & Etner, Johanna & Schroyen, Fred, 2009. "The values of relative risk aversion and prudence: A context-free interpretation," Mathematical Social Sciences, Elsevier, vol. 58(1), pages 1-7, July.
    4. W. Chiu & Louis Eeckhoudt & Beatrice Rey, 2012. "On relative and partial risk attitudes: theory and implications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(1), pages 151-167, May.
    5. Dionne, Georges & Li, Jingyuan, 2011. "The impact of prudence on optimal prevention revisited," Economics Letters, Elsevier, vol. 113(2), pages 147-149.
    6. Paul Maarek & Renaud Bourlès & Michael T.Dorsch, 2014. "Income Redistribution and the Diversity of Consumer Goods," THEMA Working Papers 2014-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    7. Donatella Baiardi & Marco Magnani & Mario Menegatti, 2020. "The theory of precautionary saving: an overview of recent developments," Review of Economics of the Household, Springer, vol. 18(2), pages 513-542, June.
    8. Kangoh Lee, 2012. "Uncertain indemnity and the demand for insurance," Theory and Decision, Springer, vol. 73(2), pages 249-265, August.
    9. Renaud Bourlès & Michael T. Dorsch & Paul Maarek, 2019. "Income Taxation and the Diversity of Consumer Goods: A Political Economy Approach," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(3), pages 960-993, July.
    10. Vergara, Marcos & Bonilla, Claudio A., 2021. "Precautionary saving in mean-variance models and different sources of risk," Economic Modelling, Elsevier, vol. 98(C), pages 280-289.
    11. Marco Magnani & Mario Menegatti, 2015. "Precautionary saving and changes in risk correlation," Economics Bulletin, AccessEcon, vol. 35(1), pages 561-570.
    12. Christophe Courbage & Richard Peter & Béatrice Rey, 2022. "Incentive and welfare effects of correlated returns," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(1), pages 5-34, March.
    13. Xu Guo & Andreas Wagener & Wing-Keung Wong & Lixing Zhu, 2018. "The two-moment decision model with additive risks," Risk Management, Palgrave Macmillan, vol. 20(1), pages 77-94, February.
    14. Octave Jokung & Sovan Mitra, 2019. "Asset Prices and Changes in Risk within a Bivariate Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 47-60, March.
    15. Courbage, Christophe & Rey, Béatrice, 2012. "Priority setting in health care and higher order degree change in risk," Journal of Health Economics, Elsevier, vol. 31(3), pages 484-489.
    16. Thomas Eichner & Andreas Wagener, 2004. "Relative risk aversion, relative prudence and comparative statics under uncertainty: The case of (μ, σ)‐preferences," Bulletin of Economic Research, Wiley Blackwell, vol. 56(2), pages 159-170, April.
    17. Vergara, Marcos, 2017. "Precautionary saving: A taxonomy of prudence," Economics Letters, Elsevier, vol. 150(C), pages 18-20.
    18. Tao Yuqing & Cheng Wen & Zou Sijie, 2018. "Priority Setting in Health Care with Disease and Treatment Risks," Journal of Systems Science and Information, De Gruyter, vol. 6(6), pages 552-562, December.
    19. Kit Pong Wong, 2019. "An interpretation of the condition for precautionary saving: the case of greater higher-order interest rate risk," Journal of Economics, Springer, vol. 126(3), pages 275-286, April.
    20. Donatella Baiardi & Marco Magnani & Mario Menegatti, 2014. "Precautionary saving under many risks," Journal of Economics, Springer, vol. 113(3), pages 211-228, November.
    21. Marco Magnani, 2017. "A new interpretation of the condition for precautionary saving in the presence of an interest-rate risk," Journal of Economics, Springer, vol. 120(1), pages 79-87, January.
    22. Thomas Paulsson & Robert Sproule & Andreas Wagener, 2005. "The Demand For A Risky Asset: Signing, Jointly And Separately, The Effects Of Three Distributional Shifts," Metroeconomica, Wiley Blackwell, vol. 56(2), pages 221-232, May.
    23. Jingyuan Li, 2012. "Precautionary saving in the presence of labor income and interest rate risks," Journal of Economics, Springer, vol. 106(3), pages 251-266, July.
    24. Reichel, Lukas & Schmeiser, Hato & Schreiber, Florian, 2021. "Sometimes more, sometimes less: Prudence and the diversification of risky insurance coverage," European Journal of Operational Research, Elsevier, vol. 292(2), pages 770-783.
    25. Jianli Wang & Pu Gong, 2013. "Labor supply with stochastic wage rate and non-labor income uncertainty," Journal of Economics, Springer, vol. 109(1), pages 41-55, May.

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