Supermodularity and the comparative statics of risk

In this article, it is shown that a wide range of comparative statics results from expected utility theory can be extended to generalized expected utility models using the tools of supermodularity theory. In particular, a range of concepts of decreasing absolute risk aversion may be formulated in terms of the supermodularity properties of certainty equivalent representations of preferences


Issue Date:
Jun 20 2004
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/151164
Total Pages:
19
JEL Codes:
D81
Series Statement:
Risk and Uncertainty Program
5/RO4




 Record created 2017-04-01, last modified 2017-08-22

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