When can expected utility handle first-order risk aversion?

DOI10.1016/j.jet.2014.09.019zbMath1309.91052OpenAlexW3125207636WikidataQ59356396 ScholiaQ59356396MaRDI QIDQ472207

Jingyuan Li, Georges Dionne

Publication date: 19 November 2014

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://commons.ln.edu.hk/cgi/viewcontent.cgi?article=3445&context=sw_master

zbMATH Keywords

expected utility theoryequity premium puzzlebackground riskconsumption risk in business cyclesfirst-order conditional dependent risk aversionrank-dependent expected utility model

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (6)

Risk aversion with two risks: a theoretical extension ⋮ Confidence band for expectation dependence with applications ⋮ Financial risk taking in the presence of correlated non-financial background risk ⋮ Preserving the Rothschild-Stiglitz type of increasing risk with background risk ⋮ The participation puzzle with reference-dependent expected utility preferences ⋮ Diversification and risk attitudes toward two risks

Cites Work

• Unnamed Item
• Unnamed Item
• Moments on truncated bivariate log-normal distributions
• First order versus second order risk aversion
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
• Anticipated utility: A measure representation approach
• Expectation dependence of random variables, with an application in portfolio theory
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Advances in prospect theory: cumulative representation of uncertainty
• Equilibrium asset prices with undiversifiable labor income risk
• Observing different orders of risk aversion
• On the covariance between functions
• First-order risk aversion and non-differentiability
• A note on the portfolio selection problem
• Continuous Bivariate Distributions
• Stochastic Dominance and the Maximization of Expected Utility
• The Dual Theory of Choice under Risk
• Some Concepts of Dependence

This page was built for publication: When can expected utility handle first-order risk aversion?