Preserving preference rankings under non-financial background risk

Yannick Malevergne and B. Rey

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Abstract: We investigate the impact of a non-financial background risk on the preference rankings between two independent financial risks and for an expected-utility maximizer. Utility functions that preserve the preference rankings are fully characterized. Their practical relevance is discussed in light of recent results on the constraints for the modelling of the preference for the disaggregation of harms.

Date: 2010-08-01
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Citations: View citations in EconPapers (4)

Published in JORS, Journal of the Operational Research Society, 2010, 61(8), pp.1302-1308 P

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Journal Article: Preserving preference rankings under non-financial background risk (2010)
Working Paper: Preserving preference rankings under non-financial background risk (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312501

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