Concavity, Stochastic Utility, and Risk Aversion

Author:

Jarrow Robert,Li Siguang

Publisher

Elsevier BV

Reference38 articles.

1. Insurance, risk and resource allocation;Kenneth J Arrow;Essays in the theory of risk-bearing,1971

2. Are risk preferences stable across contexts? Evidence from insurance data;Levon Barseghyan;American Economic Review,2011

3. A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk;Suleyman Basak;Journal of Economic Dynamics and Control,2000

4. An equilibrium model with restricted stock market participation;Suleyman Basak;Review of Financial Studies,1998

5. Risk seeking with diminishing marginal utility in a non-expected utility model;Alain Chateauneuf;Journal of Risk and Uncertainty,1994

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