Background risk in generalized expected utility theory

John Quiggin

Economic Theory, 2003, vol. 22, issue 3, 607-611

Abstract: In this paper, it is shown that, for a wide range of risk-averse generalized expected utility preferences, independent risks are complementary, contrary to the results for expected utility preferences satisfying conditions such as proper and standard risk aversion. Copyright Springer-Verlag Berlin Heidelberg 2003

Keywords: Keywords and Phrases: Background risk; Constant risk aversion; Generalized expected utility theory.; JEL Classification Numbers: D8. (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (54)

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DOI: 10.1007/s00199-002-0311-x

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