Complete Monotonicity, Background Risk, and Risk Aversion

Jordi Caballe () and A Pomansky

UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Abstract: This paper analyzes how the statistical properties of a risk affect the attitutde of individuals towards accepting another independent risk. We conduct the analysis for the class of increasing utility functions having all their derivatives with alternating sign.

Keywords: RISK; DECISION MAKING; UNCERTAINTY (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1996
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Journal Article: Complete monotonicity, background risk, and risk aversion (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:aub:autbar:357.96

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