Comparative risk aversion when the outcomes are vectors

Sudhir A. Shah
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Sudhir A. Shah: Delhi School of Economics

No 149, Working papers from Centre for Development Economics, Delhi School of Economics

Abstract: Pratt (1964) and Yaari (1969) contain the classical results pertaining to the equivalence of various notions of comparative risk aversion of von Neumann-Morgenstern utilities in the setting with real-valued outcomes. Some of these results have been extended to the setting with outcomes in

Keywords: Comparative risk aversion; vector space of outcomes; acceptance set; vector-valued risk premia; vector-valued Arrow-Pratt coefficient; Pettis integral; ordered topological vector spaces; ordered Hilbert spaces (search for similar items in EconPapers)
JEL-codes: C02 D01 D81 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2006-09
New Economics Papers: this item is included in nep-fmk and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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