Local Utility and Multivariate Risk Aversion
| Autor: | Alfred Galichon, Marc Henry, Arthur Charpentier |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Multivariate statistics
General Mathematics Management Science and Operations Research Characterization (mathematics) Von Neumann–Morgenstern utility theorem 01 natural sciences FOS: Economics and business 010104 statistics & probability Isoelastic utility 0502 economics and business Econometrics Economics - Theoretical Economics 0101 mathematics 050207 economics Expected utility hypothesis Mathematics 050205 econometrics 05 social sciences Risk aversion (psychology) Subjective expected utility Extension (predicate logic) Computer Science Applications Local utility Monotone polygon Cardinal utility Theoretical Economics (econ.TH) Rank-dependent expected utility Martingale (probability theory) Mathematical economics |
| DOI: | 10.48550/arxiv.2102.06075 |
| Popis: | We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. We show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to the concavity of the local utility functions, thereby generalizing Machina's result in Machina (1982). To analyze comparative risk attitudes within the multivariate extension of rank dependent expected utility of Galichon and Henry (2011), we extend Quiggin's monotone mean and utility preserving increases in risk and show that the useful characterization given in Landsberger and Meilijson (1994) still holds in the multivariate case. Comment: 18 pages |
| Databáze: | OpenAIRE |
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