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Comparative risk aversion when the outcomes are vectors

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  • Sudhir A. Shah

    (Delhi School of Economics)

Abstract

Pratt (1964) and Yaari (1969) contain the classical results pertaining to the equivalence of various notions of comparative risk aversion of von Neumann-Morgenstern utilities in the setting with real-valued outcomes. Some of these results have been extended to the setting with outcomes in

Suggested Citation

  • Sudhir A. Shah, 2006. "Comparative risk aversion when the outcomes are vectors," Working papers 149, Centre for Development Economics, Delhi School of Economics.
    • Handle: RePEc:cde:cdewps:149
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    References listed on IDEAS

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    1. Kihlstrom, Richard E. & Mirman, Leonard J., 1974. "Risk aversion with many commodities," Journal of Economic Theory, Elsevier, vol. 8(3), pages 361-388, July.
    2. Perlman, Michael D., 1974. "Jensen's inequality for a convex vector-valued function on an infinite-dimensional space," Journal of Multivariate Analysis, Elsevier, vol. 4(1), pages 52-65, March.
    3. Duncan, George T, 1977. "A Matrix Measure of Multivariate Local Risk Aversion," Econometrica, Econometric Society, vol. 45(4), pages 895-903, May.
    4. Peters, H. J. M. & Wakker, P. P., 1986. "Convex functions on non-convex domains," Economics Letters, Elsevier, vol. 22(2-3), pages 251-255.
    5. Karni, Edi, 1979. "On Multivariate Risk Aversion," Econometrica, Econometric Society, vol. 47(6), pages 1391-1401, November.
    6. Grant, Simon & Kajii, Atsushi & Polak, Ben, 1992. "Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom," Journal of Economic Theory, Elsevier, vol. 56(2), pages 338-351, April.
    7. Karni, Edi, 1989. "Generalized Expected Utility Analysis of Multivariate Risk Aversion," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(2), pages 297-305, May.
    8. Yaari, Menahem E., 1969. "Some remarks on measures of risk aversion and on their uses," Journal of Economic Theory, Elsevier, vol. 1(3), pages 315-329, October.
    9. Grant, Simon & Kajii, Atsushi & Polak, Ben, 1992. "Many good choice Axioms: When can many-good lotteries be treated as money lotteries?," Journal of Economic Theory, Elsevier, vol. 56(2), pages 313-337, April.
    10. Spence, Michael & Zeckhauser, Richard J, 1972. "The Effect of the Timing of Consumption Decisions and the Resolution of Lotteries on the Choice of Lotteries," Econometrica, Econometric Society, vol. 40(2), pages 401-403, March.
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    Cited by:

    1. Sudhir A. Shah, 2009. "Duality Mappings For The Theory of Risk Aversion with Vector Outcomes," Working Papers id:2085, eSocialSciences.
    2. Sudhir A. Shah, 2007. "Duality mappings for the theory of risk aversion with vector outcomes," Working papers 160, Centre for Development Economics, Delhi School of Economics.

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    More about this item

    Keywords

    Comparative risk aversion; vector space of outcomes; acceptance set; vector-valued risk premia; vector-valued Arrow-Pratt coefficient; Pettis integral; ordered topological vector spaces; ordered Hilbert spaces;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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