Background risk in generalized expected utility theory

Economic Theory

Volumn 22, Issue 3, 2003, Pages 607-611

  Quiggin, John ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Background risk; Constant risk aversion; Generalized expected utility theory

Indexed keywords

EID: 0242473194     PISSN: 09382259     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00199-002-0311-x     Document Type: Article

References (17)

1. Dekel, E.: Asset demands without the independence axiom. Econometrica 57 (1), 163-169 (1989)
2. Donaldson, D., Weymark, J. A.: A single-parameter generalization of the Gini indices of inequality. Journal of Economic Theory 22 (1), 67-86 (1980)
3. Gilboa, I., Schmeidler, D.: Maxmin expected utility with non-unique prior. Journal of Mathematical Economics 18 (2), 141-153 (1989)
4. Gollier, C.: The economics of risk and time. Cambridge, MA: MIT Press 2000
5. Gollier, C., Pratt, J. W.: Risk vulnerability and the tempering effect of background risk. Econometrica 64(5), 1109-1123 (1996)
6. Grant, S., Kajii, A.: A cardinal characterization of the Rubinstein-Safra-Thomson axiomatic bargaining theory. Econometrica 63, 1241-1249 (1995)
7. Grant, S., Karni, E.: A theory of quantifiable beliefs. Working Papers in Economics and Econometrics No. 388, Australian National University (2000)
8. Gul, F.: A theory of disappointment aversion. Econometrica 59 (3), 667-686 (1991)
9. Kimball, M. S.: Standard risk aversion. Econometrica 61 (3), 589-611 (1993)
10. Machina, M.: Expected Utility analysis without the independence axiom. Econometrica 50 (2), 277-323 (1982)
11. Pratt, J.: Aversion to one risk in the presence of others. Journal of Risk and Uncertainty 1 (4), 395-414 (1988)
12. Pratt, J. Zeckhauser, R.: Proper risk aversion. Econometrica 55 (1), 143-154 (1987)
13. Quiggin, J., Chambers, R. G.: Risk premiums and benefit measures for generalized expected utility theories. Journal of Risk and Uncertainty 17 (2), 121-37 (1998)
14. Rubenstein, A., Safra, Z., Thomson, W.: On the interpretation of the Nash bargaining solution and its extension to non-expected utility preferences. Econometrica 60 (5), 1171-1186 (1992)
15. Safra, Z., Segal, U.: Constant risk aversion. Journal of Economic Theory 83 (1), 19-42 (1998)
16. Weymark, J.: Generalized Gini inequality indices. Mathematical Social Sciences 1, 409-430 (1981)
17. Yaari, M.: The dual theory of choice under risk. Econometrica 55 (1), 95-115 (1987)