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  Risk Aversion in the Small and in the Large. When Outcomes are Multidimensional

Hellwig, M. (2004). Risk Aversion in the Small and in the Large. When Outcomes are Multidimensional.

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 Creators:
Hellwig, Martin1, Author              
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1Max Planck Institute for Research on Collective Goods, Max Planck Society, ou_2173688              

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Free keywords: D81, D82 Multidimensional Risks, Risk Aversion, Risk Premia, Randomization in Incentive Schemes
 Abstract: The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multidimensional. A weak concept, "commodity specific greater risk aversion", is based on the comparison of risk premia paid in a specified commodity. A stronger concept, "uniformly greater risk aversion" is based on the comparison of risk premia regardless of what commodities are used for payment. Neither concept presumes that von Neumann-Morgenstern utility functions are ordinally equivalent. Nonincreasing consumption specific risk aversion is shown to be sufficient to make randomization undesirable in an agency problem with hidden characteristics.

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 Dates: 2004
 Publication Status: Published in print
 Pages: 27
 Publishing info: Bonn : Max Planck Institute for Research on Collective Goods
 Table of Contents: -
 Rev. Type: -
 Identifiers: Other: 2004/06
 Degree: -

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