Representative consumer's risk aversion and efficient risk-sharing rules

• 成果类型: Article
• 署名作者: Hara, Chiaki; Huang, James; Kuzmics, Christoph
• 署名单位: Kyoto University; Lancaster University; Northwestern University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2006.11.002
• 发表日期: 2007
• 页码: 652-672
• 关键词: aggregation; Heterogeneous consumers; absolute risk tolerance; mutual fund theorem

摘要

We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must the representative consumer. We also identify a relationship between the curvature of an individual consumer's individual risk sharing rule and his absolute cautiousness, the first derivative of absolute risk-tolerance. Furthermore, we discuss some consequences of these results and refinements of these results for the class of HARA utility functions. (c) 2006 Elsevier Inc. All rights reserved.