Risk, ambiguity, and Giffen assets

Joshua Lanier

Journal of Economic Theory, 2020, vol. 186, issue C

Abstract: We provide necessary and sufficient conditions for the demand for financial assets to satisfy the law of demand (prices and quantity demanded move in opposite directions) when preferences take the expected utility, multiplier preferences, Choquet expected utility, and the maxmin expected utility forms. For the first three models the law of demand holds when the variation in the coefficient of relative risk aversion stays within a specified bound. Ensuring the law of demand holds in the maxmin expected utility model requires constant relative risk aversion.

Keywords: Giffen goods; Expected utility; Ambiguity aversion; Choquet expected utility; Maxmin expected utility; Multiplier preferences; Law of demand (search for similar items in EconPapers)
JEL-codes: D11 G11 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:186:y:2020:i:c:s0022053118305751

DOI: 10.1016/j.jet.2019.104976

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