Local Utility and Multivariate Risk Aversion

• 成果类型: Article
• 署名作者: Charpentier, Arthur; Galichon, Alfred; Henry, Marc
• 署名单位: University of Quebec; University of Quebec Montreal; Universite de Rennes; Institut d'Etudes Politiques Paris (Sciences Po); New York University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2015.0736
• 发表日期: 2016
• 页码: 466-476
• 关键词: expected utility; axioms; Commodities; definition; dispersion; BEHAVIOR

摘要

We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. We show that for nonexpected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to the concavity of the local utility functions, thereby generalizing Machina's result [Machina M (1982) Expected utility analysis without the independence axiom. Econometrica 50:277-323]. To analyze comparative risk attitudes within the multivariate extension of rank dependent expected utility of Galichon and Henry [Galichon A, Henry M (2012) Dual theory of choice with multivariate risks. J. Econom. Theory 147:1501-1516], we extend Quiggin's monotone mean and utility preserving increases in risk and show that the useful characterization given in Landsberger and Meilijson [Landsberger M, Meilijson I (1994) Comonotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion. Ann. Oper. Res. 52:97-106] still holds in the multivariate case.