Article ID Journal Published Year Pages File Type
973408 Mathematical Social Sciences 2006 14 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
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