Background risk in generalized expected utility theory

John Quiggin*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    45 Citations (Scopus)

    Abstract

    In this paper, it is shown that, for a wide range of risk-averse generalized expected utility preferences, independent risks are complementary, contrary to the results for expected utility preferences satisfying conditions such as proper and standard risk aversion.

    Original languageEnglish
    Pages (from-to)607-611
    Number of pages5
    JournalEconomic Theory
    Volume22
    Issue number3
    DOIs
    Publication statusPublished - Oct 2003

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