When can expected utility handle first-order risk aversion?
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- Dionne, Georges & Li, Jingyuan, 2014. "When can expected utility handle first-order risk aversion?," Journal of Economic Theory, Elsevier, vol. 154(C), pages 403-422.
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Cited by:
- Li, Jingyuan & Liu, Dongri & Wang, Jianli, 2016. "Risk aversion with two risks: A theoretical extension," Journal of Mathematical Economics, Elsevier, vol. 63(C), pages 100-105.
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- Wong, Kit Pong, 2022. "Diversification and risk attitudes toward two risks," Journal of Mathematical Economics, Elsevier, vol. 102(C).
- Henry Chiu, W., 2020. "Financial risk taking in the presence of correlated non-financial background risk," Journal of Mathematical Economics, Elsevier, vol. 88(C), pages 167-179.
- Wang, Jianli & Liu, Liqun & Neilson, William S., 2020. "The participation puzzle with reference-dependent expected utility preferences," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 278-287.
- Guo, Xu & Li, Jingyuan, 2016. "Confidence band for expectation dependence with applications," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 141-149.
- Johannes G. Jaspersen & Richard Peter & Marc A. Ragin, 2023. "Probability weighting and insurance demand in a unified framework," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 48(1), pages 63-109, March.
- Guo, Xu & Li, Jingyuan & Liu, Dongri & Wang, Jianli, 2016. "Preserving the Rothschild–Stiglitz type of increasing risk with background risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 144-149.
- Louis Eeckhoudt & Anna Maria Fiori & Emanuela Rosazza Gianin, 2018. "Risk Aversion, Loss Aversion, and the Demand for Insurance," Risks, MDPI, vol. 6(2), pages 1-19, May.
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More about this item
Keywords
Expected utility theory; first-order conditional dependent risk aversion; background risk; equity premium puzzle; consumption risk in business cycles; coward gambler; stock market participation; rank-dependent expected utility model;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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