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A good sign for multivariate risk taking

Author

Listed:
  • L. Eeckhoudt

    (LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

  • H. Schlesinger
  • Béatrice Rey

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract
Decisions under risk are often multidimensional, where the preferences of the decision maker depend on several attributes. For example, an individual might be concerned about both her level of wealth and the condition of her health. Many times the signs of successive cross derivatives of a utility function play an important role in these models. However, there has not been a simple and intuitive interpretation for the meaning of such derivatives. The purpose of this paper is to give such an interpretation. In particular, we provide an equivalence between the signs of these cross derivatives and individual preference within a particular class of simple lotteries.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • L. Eeckhoudt & H. Schlesinger & Béatrice Rey, 2007. "A good sign for multivariate risk taking," Post-Print hal-00283446, HAL.
    • Handle: RePEc:hal:journl:hal-00283446
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    References listed on IDEAS

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