Mirman, Leonard J.; Santugini, Marc - Centre Interuniversitaire sur le Risque, les Politiques … - 2011
Building on Kihlstrom and Mirman (1974)’s formulation of risk aversion in the case of multidimensional utility functions, we study the effect of risk aversion on optimal behavior in a general consumer’s maximization problem under uncertainty. We completely characterize the relationship...