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1 octobre 2013
- handle: 10670/1.ydhxdy
- halshs: halshs-00927270
- doi: 10.1007/s11166-013-9176-6
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info:eu-repo/semantics/altIdentifier/doi/10.1007/s11166-013-9176-6
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Comparative statics Nth degree risk increases Risk disaggregation D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty D - Microeconomics/D.D9 - Intertemporal Choice G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment DecisionsSujets proches
Loathing Disrelish Disgust Distaste Repugnance Antipathy Abhorrence Dislike Scrip Investment securities Securities law Capitalization (Finance) Blue sky laws Securities--Law and legislation Portfolio Underwriting Investing Investment management Portfolio Funds Funding Decision (Psychology) Decision processes Making decisions Decision analysis Management--Decision making Deciding Management decisions Discounting, Delay (Psychology) Intertemporal choice Discounting, Intertemporal (Psychology) Intertemporal discounting (Psychology) Finance, commerce, confiscations, etcCiter ce document
Elyès Jouini et al., « Economic Consequences of Nth-Degree Risk Increases and Nth-Degree Risk Attitudes », HAL-SHS : économie et finance, ID : 10.1007/s11166-013-9176-6
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Résumé
We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions : novel notions of directional Nth-degree risk aversion that are characterized via preferences over lotteries.