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Slutzky equations and substitution effects of risks in terms of mean-variance preferences
- Source :
- Theory and Decision. 69:17-26
- Publication Year :
- 2008
- Publisher :
- Springer Science and Business Media LLC, 2008.
-
Abstract
- This paper uses duality to elaborate Slutzky equations of risks in quasi-linear decision models extended by independent background risks. Wealth, substitution and total effects are characterized in terms of mean-variance preferences. It is shown that both Pratt and Zeckhauser’s proper risk aversion and Kimball’s standard risk aversion are sufficient for negative substitution effects.
- Subjects :
- Risk aversion
Substitution (logic)
Duality (mathematics)
Linear model
General Social Sciences
General Decision Sciences
Risk factor (finance)
Variance (accounting)
Computer Science Applications
Arts and Humanities (miscellaneous)
Developmental and Educational Psychology
Econometrics
Substitution effect
General Economics, Econometrics and Finance
Preference (economics)
Mathematical economics
Applied Psychology
Mathematics
Subjects
Details
- ISSN :
- 15737187 and 00405833
- Volume :
- 69
- Database :
- OpenAIRE
- Journal :
- Theory and Decision
- Accession number :
- edsair.doi...........a52a421c220dc8b07871e20526aa6954
- Full Text :
- https://doi.org/10.1007/s11238-008-9115-1