A Good Sign for Multivariate Risk Taking

Louis Eeckhoudt, Beatrice Rey () and Harris Schlesinger

No 1796, CESifo Working Paper Series from CESifo

Abstract: Decisions under risk are often multidimensional, where the preferences of the decision maker depend on several attributes. For example, an individual might be concerned about both her level of wealth and the condition of her health. Many times the signs of successive cross derivatives of a utility function play an important role in these models. However, there has not been a simple and intuitive interpretation for the meaning of such derivatives. The purpose of this paper is to give such an interpretation. In particular, we provide an equivalence between the signs of these cross derivatives and individual preference within a particular class of simple lotteries.

Keywords: correlation aversion; multivariate risk; prudence; risk aversion; temperance (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Journal Article: A Good Sign for Multivariate Risk Taking (2007)
Working Paper: A good sign for multivariate risk taking (2007)
Working Paper: A good sign for multivariate risk taking (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_1796

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