A contribution to duality theory, applied to the measurement of risk aversion

Juan E. Martínez-Legaz; John K.H. Quah

doi:https://doi.org/10.1007/s00199-005-0053-7

A contribution to duality theory, applied to the measurement of risk aversion

Juan E. Martínez-Legaz, John K.H. Quah

Department of Economics and Economic History

Research output: Contribution to journal › Article › Research › peer-review

3 Citations (Scopus)

Abstract

This paper determines the precise connection between the curvature properties of an objective function and the ray-curvature properties of its dual. When the objective function is interpreted as a Bernoulli or cardinal utility function, our results characterize the relationship between an agent's attitude towards income risks and her attitude towards risks in the underlying consumption space. We obtain these results by developing and applying a number of representation theorems for concave functions. © Springer-Verlag 2007.

Original language	English
Pages (from-to)	337-362
Journal	Economic Theory
Volume	30
DOIs	https://doi.org/10.1007/s00199-005-0053-7
Publication status	Published - 1 Feb 2007

Keywords

Concavity
Cost curves
Duality
Homotheticity
Risk aversion

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AU - Quah, John K.H.

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N2 - This paper determines the precise connection between the curvature properties of an objective function and the ray-curvature properties of its dual. When the objective function is interpreted as a Bernoulli or cardinal utility function, our results characterize the relationship between an agent's attitude towards income risks and her attitude towards risks in the underlying consumption space. We obtain these results by developing and applying a number of representation theorems for concave functions. © Springer-Verlag 2007.

AB - This paper determines the precise connection between the curvature properties of an objective function and the ray-curvature properties of its dual. When the objective function is interpreted as a Bernoulli or cardinal utility function, our results characterize the relationship between an agent's attitude towards income risks and her attitude towards risks in the underlying consumption space. We obtain these results by developing and applying a number of representation theorems for concave functions. © Springer-Verlag 2007.

KW - Concavity

KW - Cost curves

KW - Duality

KW - Homotheticity

KW - Risk aversion

U2 - https://doi.org/10.1007/s00199-005-0053-7

DO - https://doi.org/10.1007/s00199-005-0053-7

M3 - Article

SN - 0938-2259

VL - 30

SP - 337

EP - 362

JO - Economic Theory

JF - Economic Theory

ER -

A contribution to duality theory, applied to the measurement of risk aversion

Abstract

Keywords

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