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Dual Approaches To The Analysis Of Risk Aversion

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  • Chambers, Robert G.
  • Quiggin, John C.

Abstract

Dual approaches have proved their value in many areas of economic analysis. Until recently, however, they have been virtually ignored in the analysis of choice under uncertainty.In this paper, we present a dual formulation of choice under uncertainty based on a few simple assumptions about preferences, namely, continuity, monotonicity and convexity of preference sets. Particular emphasis is given to showing that the additive separability restriction, key to expected-utility theory, on preferences can be dropped with little loss of analytic power for a broad class of choice problems.
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  • Chambers, Robert G. & Quiggin, John C., 2002. "Dual Approaches To The Analysis Of Risk Aversion," Working Papers 28606, University of Maryland, Department of Agricultural and Resource Economics.
    • Handle: RePEc:ags:umdrwp:28606
    DOI: 10.22004/ag.econ.28606
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    References listed on IDEAS

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    12. Lewbel, Arthur, 1991. "The Rank of Demand Systems: Theory and Nonparametric Estimation," Econometrica, Econometric Society, vol. 59(3), pages 711-730, May.
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    14. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March.
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    16. Segal, Uzi & Spivak, Avia, 1990. "First order versus second order risk aversion," Journal of Economic Theory, Elsevier, vol. 51(1), pages 111-125, June.
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    18. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
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    22. Feder, Gershon, 1977. "The impact of uncertainty in a class of objective functions," Journal of Economic Theory, Elsevier, vol. 16(2), pages 504-512, December.
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    Citations

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    Cited by:

    1. Pedro Macedo & Elvira Silva & Manuel Scotto, 2014. "Technical efficiency with state-contingent production frontiers using maximum entropy estimators," Journal of Productivity Analysis, Springer, vol. 41(1), pages 131-140, February.
    2. James Roumasset, 2010. "Wither the Economics of Agricultural Development?," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 7(1), pages 1-22, June.
    3. Robert G. Chambers & Tigran Melkonyan & John Quiggin, 2022. "Incomplete preferences, willingness to pay, and willingness to accept," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(3), pages 727-761, October.
    4. Kusadokoro, Motoi, 2010. "Risk Aversion and Optimal Input Utilization under State Contingent Technology," Japanese Journal of Agricultural Economics (formerly Japanese Journal of Rural Economics), Agricultural Economics Society of Japan (AESJ), vol. 12, pages 1-13.
    5. Chambers, Robert G. & Quiggin, John, 2005. "Linear-risk-tolerant, invariant risk preferences," Economics Letters, Elsevier, vol. 86(3), pages 303-309, March.
    6. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
    7. Chambers, Robert G., 2014. "Uncertain equilibria and incomplete preferences," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 48-54.
    8. Robert Chambers & Rolf Färe, 2008. "A “calculus” for data envelopment analysis," Journal of Productivity Analysis, Springer, vol. 30(3), pages 169-175, December.

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    More about this item

    Keywords

    Risk and Uncertainty;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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