A good sign for multivariate risk taking

• 成果类型: Article
• 署名作者: Eeckhoudt, Louis; Rey, Beatrice; Schlesinger, Harris
• 署名单位: University of Mons; Universite Claude Bernard Lyon 1; University of Alabama System; University of Alabama Tuscaloosa
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1060.0606
• 发表日期: 2007
• 页码: 117-124
• 关键词: correlation aversion; Multivariate risk; prudence; risk aversion; Temperance

摘要

Decisions under risk are often multidimensional, where the preferences of the decision maker depend on example, an individual might be concerned about both her level of wealth and the condition of her health. Many times the signs of successive cross-derivatives of a utility function play an important role in these models. However, there has not been a simple and intuitive interpretation for the meaning of such derivatives. The purpose of this paper is to give such an interpretation. In particular, we provide an equivalence between the signs of these cross-derivatives and individual preference within a particular class of simple lotteries.