Some theory of bivariate risk attitude

Marta_Cardin and Paola_Ferretti
Additional contact information
Marta_Cardin: University of Venice
Paola_Ferretti: University of Venice
Authors registered in the RePEc Author Service: Paola Ferretti and Marta Cardin

Game Theory and Information from University Library of Munich, Germany

Abstract: In past years the study of the impact of risk attitude among risks has become a major topic, in particular in Decision Sciences. Subsequently the attention was devoted to the more general case of bivariate random variables. The first approach to multivariate risk aversion was proposed by de Finetti (1952) and Richard (1975) and it is related to the bivariate case. More recently, multivariate risk aversion has been studied by Scarsini (1985, 1988, 1999). Nevertheless even if decision problems with consequences described by more than two attributes have become increasingly important, some questions appear not completely solved. This paper concerns with a definition of bivariate risk aversion which is related to a particular type of concordance: a bivariate risk averse Decision Maker is a Decision Maker who always prefers the independent version of a bivariate random variable to the random variable itself.

Keywords: Bivariate risk aversion; concordance aversion; submodular functions; bivariate association; concordance; dependence; diversification. (search for similar items in EconPapers)
JEL-codes: C7 D8 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2004-11-29
New Economics Papers: this item is included in nep-rmg
Note: Type of Document - pdf; pages: 15
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/game/papers/0411/0411009.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpga:0411009

Access Statistics for this paper

More papers in Game Theory and Information from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).