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| Author: | Chambers, R.G. Quiggin, J. |
| Title: | Dual approaches to the analysis of risk aversion |
| Journal: | Economica
2007 : MAY, VOL. 74:294, p. 189-213 |
| Index terms: | consumption demand risk aversion utility theory models |
| Language: | eng |
| Abstract: | Based on a few simple assumptions about preferences (here as: prefs.), this paper presents a dual formulation of choice under uncertainty. It is shown that the additive separability restriction on prefs., key to expected-utility theory (as: e-u-th.), can be dropped with little loss of analytic power. Dual risk premiums are characterized. It is shown that placing various invariance restrictions on them naturally leads to generalizations of the concepts of CARA, CRRA, and LRT of e-u-th. |
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