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

Departamento de Economía y de Historia Económica

Producción científica: Contribución a una revista › Artículo › Investigación › revisión exhaustiva

3 Citas (Scopus)

Resumen

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.

Idioma original	Inglés
Páginas (desde-hasta)	337-362
Publicación	Economic Theory
Volumen	30
DOI	https://doi.org/10.1007/s00199-005-0053-7
Estado	Publicada - 1 feb 2007

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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.

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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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