Comparative Risk Aversion for State-Dependent Preferences

Robert Chambers () and John Quiggin

No WP5R05, Risk & Uncertainty Working Papers from Risk and Sustainable Management Group, University of Queensland

Abstract: The idea that preferences may be state-dependent fits naturally with an analysis of uncertainty based on explicit representation of random variables as state-contingent consumption or production bundles. In this paper we show how these concepts of risk-aversion may be extended to the case of state-dependent preferences, whether or not these preferences are autocomparable in the sense of Karni. We characterize autocomparability as a special case. We show how standard comparative static results, originally derived for the state-independent expected utility model, may be extended to general state-dependent preferences, without the requirement for additive separability.

Date: 2005-06
New Economics Papers: this item is included in nep-agr and nep-upt
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Working Paper: Comparative risk aversion for state-dependent preferences (2005)
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