In this article, it is shown that a wide range of comparative statics results from expected utility theory can be extended to generalized expected utility models using the tools of supermodularity theory. In particular, a range of concepts of decreasing absolute risk aversion may be formulated in terms of the supermodularity properties of certainty equivalent representations of preferences.
机构:
Lingnan Univ, Dept Finance & Insurance, Tuen Mun, Hong Kong, Peoples R ChinaLingnan Univ, Dept Finance & Insurance, Tuen Mun, Hong Kong, Peoples R China