David Bourget (Western Ontario)
David Chalmers (ANU, NYU)
Rafael De Clercq
Jack Alan Reynolds
Learn more about PhilPapers
Theory and Decision 46 (1):79-99 (1999)
According to the local risk-neutrality theorem an agent who has the opportunity to invest in an uncertain asset does not buy it or sell it short iff its expected value is equal to its price, independently of the agent's attitude towards risk. Contrary to that it is shown that, in the context of expected utility theory with differentiable vNM utility function, but without the assumption of stochastic constant returns to scale, nondegenerate intervals of no-trade prices may exist. With a quasiconcave expected utility function they do if, and only if, the agent is risk averse of order one
|Keywords||Portfolio choice Risk aversion of order one No-trade prices|
No categories specified
(categorize this paper)
Setup an account with your affiliations in order to access resources via your University's proxy server
Configure custom proxy (use this if your affiliation does not provide a proxy)
|Through your library|
References found in this work BETA
No references found.
Citations of this work BETA
No citations found.
Similar books and articles
Andreas Lange (2001). A Note on Decisions Under Uncertainty: The Impact of the Choice of the Welfare Measure. Theory and Decision 51 (1):51-71.
Robin Giles (1992). A Generalization of the Theory of Subjective Probability and Expected Utility. Synthese 90 (2):301 - 343.
Moez Abouda & Alain Chateauneuf (2002). Positivity of Bid-Ask Spreads and Symmetrical Monotone Risk Aversion. Theory and Decision 52 (2):149-170.
Wolfgang Bühler & Jens Müller-Merbach, Valuation of Electricity Futures: Reduced-Form Vs. Dynamic Equilibrium Models.
Paul Weirich (1986). Expected Utility and Risk. British Journal for the Philosophy of Science 37 (4):419-442.
Francisco J. Vázquez & Richard Watt (2002). The Price of Risk with Incomplete Knowledge on the Utility Function. Theory and Decision 53 (3):271-287.
Jack S. Levy (2003). Applications of Prospect Theory to Political Science. Synthese 135 (2):215 - 241.
Alfred Müller & Marco Scarsini (2002). Even Risk-Averters May Love Risk. Theory and Decision 52 (1):81-99.
Paola Ferretti, Temporal Risk Aversion: What Determines the Attitude of the Decision Maker? The Case of the Buyer Decision Maker.
Giacomo Bonanno (1988). Oligopoly Equilibria When Firms Have Local Knowledge of Demand. International Economic Review 29 (1):45-55.
Michael Smithson (2006). Scale Construction From a Decisional Viewpoint. Minds and Machines 16 (3):339-364.
Richard Watt, Francisco J. Vázquez & Ignacio Moreno (2001). An Experiment on Rational Insurance Decisions. Theory and Decision 51 (2/4):247-296.
Added to index2010-09-02
Total downloads2 ( #366,597 of 1,101,983 )
Recent downloads (6 months)1 ( #306,606 of 1,101,983 )
How can I increase my downloads?