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Preserving preference rankings under non-financial background risk

Author

Listed:
  • Yannick Malevergne

    (EM - EMLyon Business School)

  • B. Rey

Abstract

We investigate the impact of a non-financial background risk on the preference rankings between two independent financial risks and for an expected-utility maximizer. Utility functions that preserve the preference rankings are fully characterized. Their practical relevance is discussed in light of recent results on the constraints for the modelling of the preference for the disaggregation of harms.

Suggested Citation

  • Yannick Malevergne & B. Rey, 2010. "Preserving preference rankings under non-financial background risk," Post-Print hal-02312501, HAL.
    • Handle: RePEc:hal:journl:hal-02312501
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    References listed on IDEAS

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    Cited by:

    1. Loubergé, Henri & Malevergne, Yannick & Rey, Béatrice, 2020. "New Results for additive and multiplicative risk apportionment," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 140-151.
    2. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2013. "International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 648-659.
    3. Gebhard Geiger, 2020. "Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory," Annals of Operations Research, Springer, vol. 289(2), pages 431-448, June.

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