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Risk Rationing and Jump Utility

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  • Chiu, Leslie J. Verteramo
Abstract
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Suggested Citation

  • Chiu, Leslie J. Verteramo, 2013. "Risk Rationing and Jump Utility," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150589, Agricultural and Applied Economics Association.
  • Handle: RePEc:ags:aaea13:150589
    DOI: 10.22004/ag.econ.150589
    as

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    References listed on IDEAS

    as
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    3. Michael Cain & David Peel, 2004. "Utility and the Skewness of Return in Gambling," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 29(2), pages 145-163, December.
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    6. D. A. Peel, 2012. "Further examples of the impact of skewness on the expected utility of a risk-averse agent," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1117-1121, August.
    7. Olivier Mahul, 2000. "The output decision of a risk-neutral producer under risk of liquidation," Post-Print hal-01952110, HAL.
    8. Pender, John L., 1996. "Discount rates and credit markets: Theory and evidence from rural india," Journal of Development Economics, Elsevier, vol. 50(2), pages 257-296, August.
    9. Tsiang, S C, 1972. "The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money," American Economic Review, American Economic Association, vol. 62(3), pages 354-371, June.
    10. Hayne E. Leland, 1968. "Saving and Uncertainty: The Precautionary Demand for Saving," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 82(3), pages 465-473.
    11. Travis J. Lybbert & Christopher B. Barrett, 2011. "Risk‐Taking Behavior In The Presence Of Nonconvex Asset Dynamics," Economic Inquiry, Western Economic Association International, vol. 49(4), pages 982-988, October.
    12. Masson, Robert T, 1974. "Utility Functions with Jump Discontinuities: Some Evidence and Implications from Peasant Agriculture," Economic Inquiry, Western Economic Association International, vol. 12(4), pages 559-566, December.
    13. Joseph Golec & Maurry Tamarkin, 1998. "Bettors Love Skewness, Not Risk, at the Horse Track," Journal of Political Economy, University of Chicago Press, vol. 106(1), pages 205-225, February.
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    21. Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-932, December.
    22. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
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    25. Stephen R. Boucher & Michael R. Carter & Catherine Guirkinger, 2008. "Risk Rationing and Wealth Effects in Credit Markets: Theory and Implications for Agricultural Development," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(2), pages 409-423.
    26. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
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    Keywords

    Community/Rural/Urban Development; International Relations/Trade; Research Methods/ Statistical Methods; Risk and Uncertainty;
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