A proposal of an intensity of higher-order risk aversion -theory and applications-
| Project/Area Number |
23730202
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic theory
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| Research Institution | Osaka Sangyo University |
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Principal Investigator |
YUSUKE Osaki 大阪産業大学, 経済学部, 准教授 (80511302)
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| Project Period (FY) |
2011-04-28 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | 高次リスク回避度 / 高次リスク / 予備的貯蓄 / 比較静学 / 期待効用 / 曖昧性 / 曖昧性回避 / 多属性効用 / 国際情報交流 / リスク回避度 / 確率支配 / 比較静学分析 / 経済実験 |
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| Outline of Final Research Achievements |
An intensity of higher-order risk aversion is captured by a kind of curvature of higher order derivatives of (von Neumann-Morgenstern) utility function. Signs of their higher-order derivatives represents preferences for higher-order risks which can related higher-order moments. Eeckhoudt and Schlesinger (2006) proposed a framework to characterize higher-order risk aversion. This research project characterized an intensity of higher-order risk aversion in their framework. Our intensity can be seen as an extension of Arrow-Pratt risk aversion. This research project examine how an intensity of higher-order risk aversion relate an equilibrium risk-free rate.
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Report
(5 results)
Research Products
(17 results)
