http://swrc.ontoware.org/ontology#TechnicalReport
Local Utility and Multivariate Risk Aversion
en
local utility
multivariate risk aversion
multivariate rank dependent utility
pessimism
multivariate Bickel-Lehmann dispersion
JEL subject classification: D63, D81, C61
Charpentier Arthur
Galichon Alfred
Henry Marc
We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for nonexpected 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 [18]. To analyze comparative risk attitudes within the multivariate extension of rank dependent expected utility of [10], we extend Quiggin's monotone mean and utility preserving increases in risk and show that the useful characterization given in [17] still holds in the multivariate case.
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Discussion paper series. CIRJE-F
CIRJE-F-836
2012-01
AA11450569
application/pdf
335
日本経済国際共同センター
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf836ab.html