Dual Approaches to the Analysis of Risk Aversion
Bibliographic Data
| ID | 9724475 |
|---|---|
| Authors | Robert G Chambers (0000-0002-6731-8932, University of Maryland, College Park), John Quiggin (0000-0003-0398-8280, The University of Queensland) |
| Year | 2007 |
| Volume | 74 |
| Issue | 294 |
| Pages | 189-213 |
| Publication date | 2007-05-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/j.1468-0335.2006.00535.x |
| OpenAlex | W1709744881 |
| Language | EN |
| References cited | 30 |
We present a dual formulation of choice under uncertainty based on a few simple assumptions about preferences. It is shown that the additive separability restriction on preferences, key to expected‐utility theory, can be dropped with little loss of analytic power for a broad class of choice problems. Dual risk premiums are characterized, and it is shown that placing various invariance restrictions on them leads naturally to generalizations of the concepts of CARA, CRRA, and LRT familiar from expected‐utility theory. Each of these generalizations conforms to a notion of homotheticity
Class (philosophy) · Dual (grammatical number) · Dual purpose · Econometrics · Economics · Epistemology · Expected utility hypothesis · Key (lock) · Mathematical economics · Microeconomics · Risk aversion (psychology) · Simple (philosophy) · Artificial Intelligence · Computer Science · Decision-Making and Behavioral Economics · Economic and Environmental Valuation · Economic theories and models
| Citation velocity | historical |
|---|---|
| Highly cited | No |