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Some theory of bivariate risk attitude

Author

Listed:
  • Marta_Cardin

    (University of Venice)

  • Paola_Ferretti

    (University of Venice)

Abstract

In past years the study of the impact of risk attitude among risks has become a major topic, in particular in Decision Sciences. Subsequently the attention was devoted to the more general case of bivariate random variables. The first approach to multivariate risk aversion was proposed by de Finetti (1952) and Richard (1975) and it is related to the bivariate case. More recently, multivariate risk aversion has been studied by Scarsini (1985, 1988, 1999). Nevertheless even if decision problems with consequences described by more than two attributes have become increasingly important, some questions appear not completely solved. This paper concerns with a definition of bivariate risk aversion which is related to a particular type of concordance: a bivariate risk averse Decision Maker is a Decision Maker who always prefers the independent version of a bivariate random variable to the random variable itself.

Suggested Citation

  • Marta_Cardin & Paola_Ferretti, 2004. "Some theory of bivariate risk attitude," Game Theory and Information 0411009, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpga:0411009
    Note: Type of Document - pdf; pages: 15
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/game/papers/0411/0411009.pdf
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    References listed on IDEAS

    as
    1. Taizhong Hu & Alfred Müller & Marco Scarsini, 2002. "Some Counterexamples in Positive Dependence," ICER Working Papers - Applied Mathematics Series 28-2003, ICER - International Centre for Economic Research, revised Jul 2003.
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    More about this item

    Keywords

    Bivariate risk aversion; concordance aversion; submodular functions; bivariate association; concordance; dependence; diversification.;
    All these keywords.

    JEL classification:

    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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