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Supermodularity and the Comparative Statics of Risk

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Abstract

In this article, it is shown that a wide range of comparative statics results from expected utility theory can be extended to generalized expected utility models using the tools of supermodularity theory. In particular, a range of concepts of decreasing absolute risk aversion may be formulated in terms of the supermodularity properties of certainty equivalent representations of preferences.

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Authors and Affiliations

  1. University of Queensland, Brisbane, QLD, 4072, Australia

    John Quiggin

  2. University of Maryland, College Park, MD, U.S.A.

    Robert G. Chambers

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  1. John Quiggin
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  2. Robert G. Chambers
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Correspondence to John Quiggin.

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Quiggin, J., Chambers, R.G. Supermodularity and the Comparative Statics of Risk. Theor Decis 62, 97–117 (2007). https://doi.org/10.1007/s11238-006-9018-y

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  • DOI: https://doi.org/10.1007/s11238-006-9018-y

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