Background risk in generalized expected utility theory

John Quiggin

doi:10.1007/s00199-002-0311-x

Background risk in generalized expected utility theory

John Quiggin^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

53 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 language	English
Pages (from-to)	607-611
Number of pages	5
Journal	Economic Theory
Volume	22
Issue number	3
DOIs	https://doi.org/10.1007/s00199-002-0311-x
Publication status	Published - Oct 2003

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title = "Background risk in generalized expected utility theory",

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.",

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Background risk in generalized expected utility theory

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