Supermodularity and Risk Aversion

In this paper, we consider the relationship between supermodularity and risk aversion. We show that supermodularity of the certainty equivalent implies that the certainty equivalent of any random variable is less than its mean. We also derive conditions under which supermodularity of the certainty equivalent is equivalent to aversion to mean-preserving spreads in the sense of Rothschild and Stiglitz.

MoreLess

Year of publication:	2004-03
Authors:	Quiggin, John ; Chambers, Robert G
Institutions:	School of Economics, University of Queensland
Subject:	risk aversion \| Schur concavity \| supermodularity \| Environmental Economics and Policy \| Risk and Uncertainty

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Risk and Sustainable Management Group Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series School of Economics>Risk and Sustainable Management Group Working Papers Number 151161
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010910970