We study the comparative statics implications of mean-variance preferences for optimal portfolios. Specifically, we show that all risk averse mean-variance investors raise their investment in a risky asset in response to a change in that asset's return distribution if and only if the change...

Is there an intrinsic nonconcavity to the value of information? In an influential paper, Radner and Stiglitz (1984, henceforth RS) suggests that there is. They demonstrated, in a seemingly general model, that the marginal value of a small amount of information is zero. Since costless information...

We solve the principal-agent problem of a monopolist insurer selling to an agent whose riskiness (chance of a loss) is private information, a problem introduced in Stiglitz (1977)'s seminal paper. We prove several properties of optimal menus: the highest type gets full coverage (efficiency at...

The literature on experimentation and learning typically imposes a special dynamic structure: the only connection between periods is the updating of beliefs. Hence, both the present action and present signal realization only affect the future by changing the distribution of future beliefs. In...

Models of insurance with adverse selection predict that only the best risks — those least likely to suffer a loss — are uninsured, a prediction at odds with coverage denials for pre-existing conditions. They also typically assume that insurance pro- vision is costless: the only cost is...

In this essay, we read McKenzie's seventeen paragraphs of 1957 on “demand theory without a utility index” as an opening to the narrative of 20th-century demand theory, and as a lever for the understanding of what has now reached culmination as the neoclassical theory of demand. In tracking...

Expected consumer's surplus rarely represents preferences over price lotteries. Still, I give sufficient conditions for policies which maximize aggregate expected surplus to be interim Pareto Optimal. Besides two standard partial equilibrium conditions, I assume that feasible prices satisfy a...

I show that local changes in five welfare measures are equal: a measure proposed by Radner (1993); consumers' surplus; the Slutsky change in real wealth; the Divisia quantity index, and Debreu's (1951) coefficient of resource utilization (the last two rescaled in units of a numeraire good)

We offer a new, succinct proof that the money metric utility is concave for any preference relation representable by a concave function if and only if the indirect utility is affine in wealth. The proof exploits the existence of a least concave representation established in Debreu (1976), a...