Dual approaches to the analysis of risk aversion

Dual approaches have proved their value in many areas of economic analysis. Until recently, however, they have been virtually ignored in the analysis of choice under uncertainty. In this paper, we present a dual formulation of choice under uncertainty based on a few simple assumptions about preferences, namely, continuity, monotonicity and convexity of preference sets. Particular emphasis is given to showing that the additive separability restriction, key to expected-utility theory, on preferences can be dropped with little loss of analytic power for a broad class of choice problems.


Issue Date:
Jun 15 2006
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/151175
Total Pages:
32
JEL Codes:
D81
Series Statement:
Risk and Uncertainty Program
R06/1




 Record created 2017-04-01, last modified 2017-04-26

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)