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

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

doi:10.1007/s00199-005-0053-7

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

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

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

Risk aversion
Cost curves
Duality
Homotheticity
Concavity

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10.1007/s00199-005-0053-7

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KW - Cost curves

KW - Duality

KW - Homotheticity

KW - Concavity

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

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Keywords

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