Risk Aversion over Incomes and Risk Aversion over Commodities

This note determines the precise connection between an agent's attitude towards income risks and his attitude over risks in the underlying consumption space. Our results follow a general mathematical theory connecting the curvature properties of an objective function with the ray-curvature properties of its dual.

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Year of publication:	2003-03-18
Authors:	Martinez-Legaz, Juan E. ; Quah, John K.-H.
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	risk aversion \| concavity \| duality

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2003-W09 14 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D11 - Consumer Economics: Theory ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005687552