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Note--A Note on Multivariate Risk and Separable Utility Functions

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  • Richard Engelbrecht

    (20 North Triphammer Road, Apt NIB, Ithaca, New York 14850)

Abstract

Richard [Richard, Scott F. 1975. Multivariate risk aversion utility independence and separable utility function. Management Sci. 22 (1) 12-21.] derived a number of results on multivariate risk for sufficiently regular utility functions. The results generalize to quite arbitrary utility functions.

Suggested Citation

  • Richard Engelbrecht, 1977. "Note--A Note on Multivariate Risk and Separable Utility Functions," Management Science, INFORMS, vol. 23(10), pages 1143-1144, June.
    • Handle: RePEc:inm:ormnsc:v:23:y:1977:i:10:p:1143-1144
    DOI: 10.1287/mnsc.23.10.1143
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    Cited by:

    1. Michel Denuit & Louis Eeckhoudt & Béatrice Rey, 2010. "Some consequences of correlation aversion in decision science," Annals of Operations Research, Springer, vol. 176(1), pages 259-269, April.
    2. Richard Engelbrecht-Wiggans, 1979. "Auctions and Bidding Models: A Survey," Cowles Foundation Discussion Papers 496R, Cowles Foundation for Research in Economics, Yale University.

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