Risk Aversion over Incomes and Risk Aversion over Commodities

Juan Enrique Martinez-Legaz and John Quah

No 2003-W09, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: This note determines the precise connection between an agent's attitude towards income risks and his attitude over risks in the underlying consumption space. Our results follow a general mathematical theory connecting the curvature properties of an objective function with the ray-curvature properties of its dual.

Keywords: risk aversion; concavity; duality (search for similar items in EconPapers)
JEL-codes: C61 D11 D81 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2003-03-18
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0309

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