Dual Approaches to the Analysis of Risk Aversion

Robert G Chambers () and John Quiggin ()

Economica, 2007, vol. 74, issue 294, pages 189-213

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. Copyright (c) The London School of Economics and Political Science 2006.

Date: 2007
View citations in EconPapers

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0335.2006.00535.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: DUAL APPROACHES TO THE ANALYSIS OF RISK AVERSION (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:econom:v:74:y:2007:i:294:p:189-213

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0013-0427

Access Statistics for this article

Economica is edited by Frank Cowell, Tore Ellingsen and Alan Manning

More articles in Economica from London School of Economics and Political Science
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().