scholarly journals When Can Expected Utility Handle First-Order Risk Aversion?

2013 ◽  
Author(s):  
Georges Dionne ◽  
Jingyuan Li
Keyword(s):  
Risk Aversion ◽  
Expected Utility ◽  
First Order

scholarly journals When can expected utility handle first-order risk aversion?

2014 ◽  
Vol 154 ◽  
pp. 403-422 ◽  
Author(s):  
Georges Dionne ◽  
Jingyuan Li
Keyword(s):  
Risk Aversion ◽  
Expected Utility ◽  
First Order

Disentangling Intertemporal Substitution and Risk Aversion Under the Expected Utility Theorem

2018 ◽  
Vol 19 (2) ◽  
Author(s):  
C. Oscar Lau
Keyword(s):  
Risk Aversion ◽  
Expected Utility ◽  
Axiomatic Approach ◽  
Intertemporal Substitution ◽  
Standard Time ◽  
Separable Form ◽  
Straightforward Extension

Abstract This paper presents an axiomatic approach to separately control for the attitudes toward intertemporal substitution and risk aversion under the expected utility theorem. The standard time-separable form is recovered only if the functions dictating the two attitudes are identical. Risk aversion is defined on consumption amount rather than on utility (as in Kihlstrom and Mirman (1974 and 1981)). Moreover, the agent is allowed to trade his lottery outcome to optimize his consumption. As a result, this approach provides a straightforward extension of the familiar Arrow-Pratt results to multiple periods. These include categorizing, measuring, and comparing risk aversions.

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