Dual approaches to the analysis of risk aversion

Chambers, Robert G. and Quiggin, John (2007) Dual approaches to the analysis of risk aversion. Economica, 74 294: 189-213. doi:10.1111/j.1468-0335.2006.00535.x

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Author Chambers, Robert G.
Quiggin, John
Title Dual approaches to the analysis of risk aversion
Journal name Economica   Check publisher's open access policy
ISSN 0013-0427
Publication date 2007-05
Year available 2007
Sub-type Article (original research)
DOI 10.1111/j.1468-0335.2006.00535.x
Volume 74
Issue 294
Start page 189
End page 213
Total pages 25
Editor Manning, A.
Place of publication Oxford
Publisher Blackwell Publishing
Collection year 2008
Language eng
Subject C1
Abstract We present a dual formulation of choice under uncertainty based on a few simple assumptions about preferences. It is shown that the additive separability restriction on preferences, key to expected-utility theory, can be dropped with little loss of analytic power for a broad class of choice problems. Dual risk premiums are characterized, and it is shown that placing various invariance restrictions on them leads naturally to generalizations of the concepts of CARA, CRRA, and LRT familiar from expected-utility theory. Each of these generalizations conforms to a notion of homotheticity.
Keyword Economics
Gorman Polar Form
Demand Systems
Q-Index Code C1

Document type: Journal Article
Sub-type: Article (original research)
Collections: Excellence in Research Australia (ERA) - Collection
2008 Higher Education Research Data Collection
School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 4 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 4 times in Scopus Article | Citations
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Created: Mon, 18 Feb 2008, 16:48:28 EST