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:	2003-03-01
Authors:	Quah, John ; Martinez-Legaz, Juan E.
Institutions:	Department of Economics, Oxford University
Subject:	risk aversion \| concavity \| duality

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2003-W09
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/10010605232