Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom

Simon Grant; Atsushi Kajii; Ben Polak

doi:10.1016/0022-0531(92)90086-W

Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom

Simon Grant^*, Atsushi Kajii, Ben Polak

^*Corresponding author for this work

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

6 Citations (Scopus)

Abstract

What can be inferred, without assuming the Independence axiom, about an agent's preferences over many-good lotteries from knowledge that the agent is income risk averse? We show that income risk aversion corresponds to an intuitive substitution property of the many-good lottery preferences that is, itself, equivalent to a standard definition of many-good risk aversion. We apply our approach to derive some well-known results directly from our interpretation of income risk aversion and neutrality.

Original language	English
Pages (from-to)	338-351
Number of pages	14
Journal	Journal of Economic Theory
Volume	56
Issue number	2
DOIs	https://doi.org/10.1016/0022-0531(92)90086-W
Publication status	Published - Apr 1992
Externally published	Yes

Access to Document

10.1016/0022-0531(92)90086-W

Cite this

@article{ef6a4d3f41354425aa7124dca5c87110,

title = "Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom",

abstract = "What can be inferred, without assuming the Independence axiom, about an agent's preferences over many-good lotteries from knowledge that the agent is income risk averse? We show that income risk aversion corresponds to an intuitive substitution property of the many-good lottery preferences that is, itself, equivalent to a standard definition of many-good risk aversion. We apply our approach to derive some well-known results directly from our interpretation of income risk aversion and neutrality.",

author = "Simon Grant and Atsushi Kajii and Ben Polak",

year = "1992",

month = apr,

doi = "10.1016/0022-0531(92)90086-W",

language = "English",

volume = "56",

pages = "338--351",

journal = "Journal of Economic Theory",

issn = "0022-0531",

publisher = "Academic Press Inc.",

number = "2",

}

TY - JOUR

T1 - Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom

AU - Grant, Simon

AU - Kajii, Atsushi

AU - Polak, Ben

PY - 1992/4

Y1 - 1992/4

N2 - What can be inferred, without assuming the Independence axiom, about an agent's preferences over many-good lotteries from knowledge that the agent is income risk averse? We show that income risk aversion corresponds to an intuitive substitution property of the many-good lottery preferences that is, itself, equivalent to a standard definition of many-good risk aversion. We apply our approach to derive some well-known results directly from our interpretation of income risk aversion and neutrality.

AB - What can be inferred, without assuming the Independence axiom, about an agent's preferences over many-good lotteries from knowledge that the agent is income risk averse? We show that income risk aversion corresponds to an intuitive substitution property of the many-good lottery preferences that is, itself, equivalent to a standard definition of many-good risk aversion. We apply our approach to derive some well-known results directly from our interpretation of income risk aversion and neutrality.

UR - https://www.scopus.com/pages/publications/38249012789

U2 - 10.1016/0022-0531(92)90086-W

DO - 10.1016/0022-0531(92)90086-W

M3 - Article

SN - 0022-0531

VL - 56

SP - 338

EP - 351

JO - Journal of Economic Theory

JF - Journal of Economic Theory

IS - 2

ER -

Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom

Abstract

Access to Document

Other files and links

Cite this