On relative and partial risk attitudes: Theory and implications

Research output: Contribution to journalArticle

Abstract

This paper develops context-free interpretations for the relative and partial Nth degree risk attitude measures and show that various conditions on theses measures are utility characterizations of the effects of scaling general stochastic changes in different settings. It is then shown that these characterizations can be applied to generalize comparative statics results in a number of important problems, including precautionary savings, optimal portfolio choice, and competitive firms under price uncertainty. © 2010 Springer-Verlag.

Bibliographical metadata

Original languageEnglish
Pages (from-to)151-167
Number of pages16
JournalEconomic Theory
Volume50
Issue number1
DOIs
Publication statusPublished - May 2012