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

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

Research output: Contribution to journalArticleResearchpeer-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 languageEnglish
Pages (from-to)337-362
JournalEconomic Theory
Volume30
DOIs
Publication statusPublished - 1 Feb 2007

Keywords

  • Concavity
  • Cost curves
  • Duality
  • Homotheticity
  • Risk aversion

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