Risk Aversion in the Small and in the Large. When Outcomes are Multidimensional

By Martin F. Hellwig. 2004

792 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/26b805f001e70284764d16ffed3968d5f314c678

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Axiomatic reference-dependence in behavior toward others and toward risk (2006, methodology): “Following Pratt (1964), let be a random variable with mean : and define to be the value of B that solves .”
Irrigation as adaptation strategy to climate change—a biophysical and economic appraisal for Swiss maize production (2011, methodology): “7General discussions on the certainty equivalent maximization approach, the here used methodology and underlying assumptions are given, for instance, in Chavaz (2004), Di Falco and Chavas (2006), and Pratt (1964).”
Disentangling Risk and Change (2015, neutral): “Pratt, J. W. 1964 ‘‘Risk aversion in the small and in the large.’’”
Risk Aversion in the Small and in the Large under Rank-Dependent Utility (2015, methodology): “2), the proof follows essentially the same arguments as the proof of Theorem 1 in Pratt [10].”
Uncertainty Aversion with Second-Order Utilities and Probabilities (2006, background): “…also satisfy the coordinate independence axiom (Savage’s P2, 1954), then U w has the cardinal, additively separable form U w = J∑ j=1 K∑ k=1 vjk wjk which is unique up to positive affine transformations and can be interpreted as state-dependent EU without separation of probabilities from utilities.”
Invariant Utility Functions and Certain Equivalent Transformations (2007, background): “Arrow (1965) and Pratt (1964) defined the notions of constant absolute and constant relative risk aversion.”
Prospect and Markowitz stochastic dominance (2007, background): “The prevalence of risk aversion is the best known generalization regarding risky choices and was popular among the early decision theorists of the twentieth century (Pratt 1964, Arrow 1971).”
The Welfare Impacts of Commodity Price Volatility: Evidence from Rural Ethiopia (2013, neutral): “analogous to Pratt’s (1964) coefficient of absolute (income) risk aversion, but with respect to indivi ual prices instead of income.”
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002, background): “In models of lognormal stock dynamics, such independence from wealth is generally observed in calculations with exponential utility because the absolute risk aversion 1⁄4u (w ):u Æ(w) (Pratt, 1964) is constant (equal to a).”
On the measurement of risk aversion from experimental data (2004, neutral): “from experimental data”
Risk-averse auction agents (2003, background): “However, it is known that it can be decomposed for utility functions with the delta property [9] or, equivalently, constant local risk aversion [15].”
Chronic Poverty and All that: The Measurement of Poverty Over Time (2007, background): “In fact, the proof of the following theorem heavily draws on results from expected utility theory (mainly Pratt 1964), necessarily with some departures due to the specific traits of our vulnerability concept.”
Sex, Risk and the Newsvendor (2013, background): “In general, increasing risk aversion is equivalent to a concave transformation of the newsvendors utility function (see Pratt 1964); 2 more intuitively, increased risk aversion decreases the newsvendors appetite for payoff variance, that is for outcome uncertainty.”
The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003, background): “The model is summarized in the Appendix, page 29 Rudolf and Ziemba (2003) provide a case study which illustrates the reasons why, in practice, discrete time constrained stochastic programming models are preferred to unconstrained continuous time models.”