Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
973408 | Mathematical Social Sciences | 2006 | 14 Pages |
Abstract
In this paper, we consider the relationship between supermodularity and risk aversion. We show that supermodularity of the certainty equivalent implies that the certainty equivalent of any random variable is less than its mean. We also derive conditions under which supermodularity of the certainty equivalent is equivalent to aversion to mean-preserving spreads in the sense of Rothschild and Stiglitz.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
John Quiggin, Robert G. Chambers,